I have an unmodified AdventureWorks database. 1 and 2 work fine. 3 and 4 fail.

3 gives:

Msg 207, Level 16, State 1, Line 2

Invalid column name 'EmployeeId'.

4 gives:

Msg 8127, Level 16, State 1, Line 2

Column "HumanResources.Employee.ManagerID" is invalid in the ORDER BY clause because it is not contained in either an aggregate function or the GROUP BY clause.

EDIT: this is MSSQL 2005 SP2 9.0.3073 64-bit