Now without the semicolon in front of "WITH", the query is not returning anything, no errors are reported and the "Output/General" windows just displays:
The same query is returning records in SSMS.Changed database context to 'MyDatabase'.
DML succeeded [0.002s]
Execute succeeded [< 0,001s]
Semi-colon insertion (Edit/Advanced/InsertSemicolons) is not inserting semicolons before "WITH" in CTE either, are these bugs?