That's not correct. When using UNION or UNION ALL SQL server will use the alias of the first statement for all. Also, it will use the data type with the highest precedence for all queries.

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A few examples:

-- will fail

SELECT 1 AS a

UNION

SELECT 2 AS b

ORDER BY B

--if both aliases were the same this wouldnt fail also what advantage is there to having two different aliases because the "b" alias gets lost in the mix. It becomes "a".

-- will run

SELECT 1 AS a

UNION

SELECT 2 AS b

--no order is being applied here. if a=2 and b=1 it would return 2,1

--to your point i suppose there is no reason at all to even alias any but the first select. interesting.