Yes it is a bit weird. In SQL 2005 you have the mandatory requirement to enter a semi-colon at the end of the statement that immediately precedes the use of a CTE (Common Type Expression).

I guess since you can end every T-SQL statement with a semi-colon and not incur a penalty, it saves errors when they are needed.

The other reason might be to do with security. In SQL injection attacks additional conditions can be added to the end of an existing unterminated statement on the server to modify the query. If the query is now terminated with a semi-colon then this variant of query modification is prevented but obviously does not address the attacker adding additional statements terminated with a semi-colon.

Si