From "SQL Server 2005 Compact Edition Books Online"

"Queries that can typically be run on SQL Server Compact Edition can also run on Microsoft SQL Server; however, many of the features of Transact-SQL are absent from SQL Server Compact Edition, and only a single SQL statement can be executed in a command.

...

Note:

SQL Server Compact Edition does not support scripting because scripting depends on SQL Management Objects (SMO). SMO is not a feature of SQL Server Compact Edition."

Technically, an IF ... THEN ... construct is two statements (the IF evaluation and the THEN action). Also, while "IF" and "THEN" are reserved words in SSCE (for compatibility with the rest of the SQL world), they are not defined in the grammar available for SSCE.