Well, the GO in the 'middle' of procedure A ends the batch. Hence leaving a begin without an end and, in the second batch an end without a begin.

GO is a batch breaker. It tells SSMS where to delimit the batches sent to SQL. So what you're telling SSMS is that the first batch it must send is

create procedure aa

as

begin

if exists (select * from sys.objects where name='bb')

begin

drop procedure bb

GO

As I'm sure you can see, that is not valid SQL.

Again, I need to ask why you want a procedure to create a procedure? What's the point?