but I'd like to set this default to newline character, for instance ("\n") so that i can execute query easily like Toad for oracle.
In SQL Server, it is common to create a bunch of statements, delimited with a semicolon, and then use "go" to send it off in one big batch to the server.
I guess this is a bug?
SQL Server provides commands that are not Transact-SQL statements, but are recognized by the sqlcmd and osql utilities and SQL Server Management Studio Code Editor. These commands can be used to facilitate the readability and execution of batches and scripts.
SQL Server Utilities Statements
(BTW, I've always wanted to report it as feature request for the SQL Server support in HeidiSQL and never found the time.)
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