The category for this QOD is a bit misleading. It's not strictly a Transact-SQL feature that's being highlighted here. T-SQL syntax takes care of interpreting the two single-quote marks as a literal to be included in the print result, but the "GO" statement is interpreted and executed by SQL Server Management Studio (SSMS). The multiple execution option is only available there, and would not work outside that environment. SQL 2000 Query Analyzer uses "GO" to terminate batches as well, but doesn't have the optional parameter.

There was a discussion of this point from a couple of weeks ago when the QOD for 25 August was "Go Go Go".