An excellent question. The best questions get you thinking in new ways about tools you use all the time, and this certainly fits the bill.
Ultimately it came down to a coin-flip for me (which I consider a fail regardless of the fact that I picked the right answer), but once I read the explanation it made perfect sense. Of course the DSQL is going to execute completely before the insert takes place. Duh!
That said, I would never write code like this, but who knows... some day I might need a magic trick, and this example might point me in the right direction! :-)
NULL is not zero
NULL is not an empty string
NULL is the unknown