L' Eomot Inversé (9/24/2013)
I knew the answer, but Jens-Peter's comment made me wonder: he's quite right, the behavious is not documented on the page referenced. Nor is it documented on the -- comment BOL page. I wonder if it is documented anywhere?
I think it is clearly documented.
The -- page specifies that the rest of the text until the end of the line is ignored.
The /* */ page specifies that the text between opening and closing mark is ignored, with the explicit exception that nested comments are recognised.
Add one and one together, and it is clear that /* ... */ is parsed for other /* and */ sequences, while -- ... (end of line) is not parsed at all.