ALTER DATABASE statement not allowed within multi-statement transaction

Question

I've downloaded the AdventureWorks based In-memory sample from here, and followed all the steps described in the accompanying doc. However, when I try to run the script in SQL Server Management Studio, I get the error message:

ALTER DATABASE statement not allowed within multi-statement transaction

The error points to line 9, which is:

IF NOT EXISTS (SELECT * FROM sys.data_spaces WHERE type='FX')
    ALTER DATABASE CURRENT ADD FILEGROUP [AdventureWorks2012_mod] 
    CONTAINS MEMORY_OPTIMIZED_DATA
GO

Since this is (more or less) official Microsoft documentation, I'm assuming it's something I'm doing wrong, but I can't figure out what it is.