It's not a bug and calling it a "feature" is probably a stretch also <s>. The keyword GO is not recognized by SQL Server. It is not part of Transact-SQL. It is the batch terminator recognized by the Query Analyzer, iSQL, and oSQL.

You can see this by trying to submit the following using the Query Analyzer:

EXECUTE('GO')

SQL Server will respond with the following error:

Server: Msg 2812, Level 16, State 62, Line 1
Could not find stored procedure 'GO'.

-Mike