An nice amusing question that demonstrates an unfortunate feature of SQL - using contractions is not a habit I would like to get into. so a good question about something that people may be unaware of. I hope people don't take away the lesson that this is a good thing to use, though.
However, the correct answer is wrong - the real answer is "it depends". Since security is a useful thing to have, I normally log into servers as a non-member of local administrators; if I then connect to SQL Server, I don't get SA privileges, because local admins (for machines not in a domain) or domain or enterprise admins (for machines in a domain) get SA privileges.
So whether the first call works or not depends on whether I remembered to log in as an admin user because I was going to try to switch xp_cmdshell on, or (more likely) remembered to leave my current unprivileged SSMS and start it up again as an admin user.
Of course the use of tick boxes indicates that more than one option is to be chosen, which gives the game away as only one of the three options could be true if I had connected without the required privileges.