Is that a documented behavior?
Yes, this behavior is supported by the standard, from section 6.4.5
String literals paragrph 4 of the C99 draft standard says (emphasis mine):
In translation phase 6, the multibyte character sequences specified by any sequence of adjacent character and wide string literal tokens are concatenated into a single multibyte character sequence. If any of the tokens are wide string literal tokens, the resulting multibyte character sequence is treated as a wide string literal; otherwise, it is treated as a character string literal.