Question

I open a new window in SSMS and run this:

SET ANSI_DEFAULTS ON 
GO

CREATE PROCEDURE [dbo].[zzz_test2]
(
    @a    int
)
AS
    SET NOCOUNT ON
    SET @a=1
    RETURN 0
GO

and then close the window, which results in this warning:

There are uncommitted transactions. Do you wish to commit these before closing the window?

what is going on??

when I open a new SSMS window and run this:

SET ANSI_NULLS  ON  
GO    

CREATE PROCEDURE [dbo].[zzz_test2]
(
    @a    int
)
AS
    SET NOCOUNT ON
    SET @a=1
    RETURN 0
GO

and close the window, I get no warning.

Answer 1

As described in the documentation for ANSI_DEFAULTS

When enabled (ON), this option enables
the following ISO settings:

SET ANSI_NULLS
SET CURSOR_CLOSE_ON_COMMIT
SET ANSI_NULL_DFLT_ON
SET IMPLICIT_TRANSACTIONS
SET ANSI_PADDING
SET QUOTED_IDENTIFIER
SET ANSI_WARNINGS

As documented here when IMPLICIT_TRANSACTIONS is on.

Transactions that are automatically
opened as the result of this setting
being ON must be explicitly committed
or rolled back by the user at the end
of the transaction