I'm not sure this constitutes much of an issue, and probably not a bug in any case. This is a limitation with the print statement itself and has nothing to do with the (n)varchar(max) data type. I have run in to this very problem outside of the (max) type when concatenating strings together.

My work around was to actually SELECT the column of data I needed and work with the object that way. I was curious if this would work, so I just tested on SQL 2005 x64 Standard (no service packs). My table is a single field called MyString of type varchar(max). I inserted a string of Lorem Ipsum that was a bit over 11,000 characters. As the article stated, printed the string truncated at character 8000. SELECTing the field did no truncation.