Good observation, Christian. The format of the error message, which looks quite different from errors that are thrown by SQL Server, is also an indication that there is a different source of the error.

Here is another repro that runs fine on all clients, to demonstrate that SQL Server itself actually does not have any issues with this code:

DECLARE @a sql_variant;

SET @a = ROUND(0.5,0);

-- no error

SELECT CAST(@a AS decimal(12,2));

-- error when running on SSMS

SELECT @a;

go

-- Or, the more direct approach

SELECT CAST(ROUND(0.5,0) AS decimal(12,2));

go