I've just come across this scenario where when a query completes with errors I don't get any results whatsoever from 0xDBE, however I do with SSMS. The query in question is:
with sp_blitz coming from http://www.brentozar.com/
The query produces an error because I have a database in compatability mode 80, and the proc is trying to run a statement on it that isn't supported in that compatability mode. When run in SSMS I get results and in the messages window:
Msg 102, Level 15, State 1, Line 19
Incorrect syntax near '.'.
When run in 0xDBE I only get the error, no results.