Though the explanation sounds enlightening, it is wrong. And it is also wrong to claim that the result of this query will always be "C".
Though many people seem to prefer to ignore it, it is widely known that this method of string concatenation is NOT SUPPORTED. Microsoft itself writes (I believe in a Knowledge Base article; I've spent some time trying to hunt it down but failed, unfortunately) that this method is not supported and that the results are unpredictable.
As far as I am concerned, any of the alternatives mentioned may be returned, depending on version, SP level and build of SQL Server, hardware used, and amount of other activity on the server.
Please, people - NEVER USE CODE LIKE THIS IN PRODUCTION CODE!!!!