Why can't I use "create schema" in a begin/end block in SQL Management Studio?

Schema creations must be the only statement in a batch. One way to get around it is like so:

IF (NOT EXISTS (SELECT * FROM sys.schemas WHERE name = 'acme')) 
BEGIN
    EXEC ('CREATE SCHEMA [acme] AUTHORIZATION [dbo]')
END

Here is an even simpler solution (simpler check):

IF (SCHEMA_ID('acme') IS NULL) 
BEGIN
    EXEC ('CREATE SCHEMA [acme] AUTHORIZATION [dbo]')
END

It needs to be in its own batch. You can wrap it in EXEC('')

EXEC('CREATE SCHEMA [acme] AUTHORIZATION [dbo]')

I believe the reason for the requirement is something to do with an older version of the CREATE SCHEMA syntax introduced in version 6.5 (at least that's what it says here).

Sometimes (always) you're not allowed to use Dynamic SQL, so using EXEC is not the best approach. Using GO statement can do things better:

USE [MyDB]
GO

IF (SCHEMA_ID('MySchema') IS NOT NULL)
BEGIN
    DROP SCHEMA [MySchema];
END

GO

CREATE SCHEMA [MySchema] AUTHORIZATION [dbo]

GO

CREATE SCHEMA must be in it's own batch, so embed it inside an EXEC and you should be OK.

IF (NOT EXISTS (SELECT * FROM sys.schemas WHERE name = 'acme')) 
BEGIN
    EXEC ('CREATE SCHEMA [acme] AUTHORIZATION [dbo]')
END