Hugo, is it not documented or documented as not defined? This code reminded me of a function I use that operates on the same principle in order to concatenate column data over multiple rows for a certain UserID:
SET @ComplaintList = ''
SELECT @ComplaintList = @ComplaintList+ UserComplaint+ char(13)
FROM ComplaintsTable
WHERE UserID=@UserID
..
Return @ComplaintList
And it does iterate over all the relevant rows and gives the expected result.
Where can I find more about this?