The explanation says

In T-SQL the nulls are returned at the beginning of the result set if ordering is specified. Standard SQL supports the options NULLS FIRST and NULLS LAST to control how NULLs sort, but T-SQL doesn’t support this option.

For me it's clearer to say that NULLS are treated as the lowest possible value. If you ORDER BY DESC then the NULLs appear at the end of the result set. That's not clear to me from the explanation.

I guess it's just a question of what you mean by 'first' and 'last'. 🙂