IF ELSE vs CASE WHEN

You should be able to find the information from the definition. 

http://msdn.microsoft.com/en-us/library/ms181765.aspx

You cannot use CASE as a Flow Control method and the CASE eveluates its expression sequentially so it errors in your example.

"The CASE expression cannot be used to control the flow of execution of Transact-SQL statements, statement blocks, user-defined functions, and stored procedures. 

..

The CASE statement evaluates its conditions sequentially and stops with the first condition whose condition is satisfied.

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