I can recreate this. My guess is that it's got something to do with the settings or compatability level of the AdventureWorks2008R2 database, although I confess I don't know exactly what.
The same script works in a copy of the address table in tempdb, for example:
USE tempdb;
SELECT * INTO AddressCopy
FROM AdventureWorks2008R2.Person.Address
ALTER TABLE AddressCopy
ADD CONSTRAINT PK_AddressCopy_AddressID PRIMARY KEY CLUSTERED (AddressID ASC);
CREATE SPATIAL INDEX [SpatialIndex-20120304-194728] ON AddressCopy(SpatialLocation)
USING GEOGRAPHY_GRID;
and then, as before:
DECLARE @qs geography;
SELECT @qs = SpatialLocation from [AdventureWorks2008R2].Person.[Address] where [AddressID] = 1;
EXEC sp_help_spatial_geography_index
'AddressCopy', 'SpatialIndex-20120304-194728',1, @qs
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