A nice question about a little known feature - but you have to overllook the errors.
I'll admit that I did not see the declare + set statement, as I was not focusing on that part of the code. But I did see another reason why the right answer is not really 100% right. The use of the NOLOCK hint allows dirty data to be read, so it is possible that the CustomerRefNo returned is not correct. It could even be an illegal value!
Given the available answer options, neither this, nor the use of IN where = would have been better, nor the failure to explicitly specify that MyLinkedServer exists (I know, that should be obvious, but I'm sure people will start complaining about this) should cause any real problems. But it does make me wonder why the question author chose to include the code this way.
A good idea for a question, unfortunately hampered a bit by insufficient attention to detail.
Hugo Kornelis, SQL Server/Data Platform MVP (2006-2016)
Visit my SQL Server blog: http://sqlblog.com/blogs/hugo_kornelis