I experienced the same problem of printing nvarchar(max)/varchar(max), with truncation at 4000/8000 characters. I strongly agree: it's a bug (while Microsoft insists it's a feature). I found a very simple/effective workaround. I don't know how/why my workaround works, but it works, bullet-proof, all the times. Try it.
After bulding a @LongString longer than 8000 chars, as varchar(max), create a small temp table with two fields, insert the long string @LongString you created through your code into the varchar(max) field, and then retrieve it from the table, as shown below:
CREATE TABLE [dbo].[TEMP](
[RecNo] [smallint] IDENTITY(1,1) NOT NULL,
[LongString] [varchar](max) NULL
) ON [PRIMARY]
INSERT INTO [dbo].[TEMP] ([LongString])
SELECT @LongString
SELECT LongString FROM [dbo].[TEMP] WHERE RecNo = 1
--the above SELECT returns the entire unchopped string,
--which you can copy and paste into a text editor for analysis
DROP TABLE [dbo].[TEMP]
That's all there is to it.
Enjoy!
Mike Vassalotti
Herndon, Virginia