From the article linked in the question:
SQL Server Management Studio uses Microsoft.NET FrameworkSqlClient for execution in regular and SQLCMD mode. When run from the command line, SQLCMD uses the OLE DB provider. Because different default options may apply, it is possible to get different behavior while executing the same query in SQL Server Management Studio SQLCMD Mode, and in the SQLCMD utility.
So I think those rules only apply to using it from SQLCMD, not specifically from SSMS.
Fun (aka wierd) things I noticed too while trying this was that it seems like running "!!:<anything>" is completely ignored in SSMS. For example:
is ignored and you get "Commands completed successfully", which was not what I expected. I tested that on SQL 2008 R2 SP3.
So I think Rune Bivrin hit the nail on the head when he said "a colon is used to signify a label, which does nothing on its own".
The above is all just my opinion on what you should do.
As with all advice you find on a random internet forum - you shouldn't blindly follow it. Always test on a test server to see if there is negative side effects before making changes to live!
I recommend you NEVER run "random code" you found online on any system you care about UNLESS you understand and can verify the code OR you don't care if the code trashes your system.