Sql-server – 2 CTES to insert into a different #temp , and then executing a variable

I have this simple query that I'm creating just to test some backups ( full and diff and I'm going to improve it later. it's just a test):

------------------------------------------------------------------------------------
DECLARE @BKPPATCH_FULL VARCHAR(MAX);   --Patch do backup full
DECLARE @BKPPATCH_DIFF VARCHAR(MAX);   --Patch do backup DIFF


--CTE para backup FULL--------------------------------------------------------------
;WITH CTE_RESTORE_ROUTINE_FULL AS
(
    SELECT T1.DATABASE_NAME,
           T2.PHYSICAL_DEVICE_NAME,
           T1.backup_start_date AS 'BACKUP_DATE'
    FROM MSDB.DBO.BACKUPSET T1  
    INNER JOIN MSDB.DBO.BACKUPMEDIAFAMILY T2
        ON T1.MEDIA_SET_ID=T2.MEDIA_SET_ID
            AND T1.DATABASE_NAME='MYDATABASE'
            AND T2.PHYSICAL_DEVICE_NAME LIKE 'EXTERNAL_SERVER%'  --EXTERNO
            AND T2.PHYSICAL_DEVICE_NAME LIKE '%BKP'        --FULL
) 
SELECT TOP 1 DATABASE_NAME
            ,PHYSICAL_DEVICE_NAME 
            ,BACKUP_DATE
INTO #TEMP_NOME_E_LOCAL_BACKUP_FULL 
    FROM CTE_RESTORE_ROUTINE_FULL   
ORDER BY BACKUP_DATE DESC;

--CTE para backup DIFF--------------------------------------------------------------
;WITH CTE_RESTORE_ROUTINE_DIFF AS
(
    SELECT T1.DATABASE_NAME
          ,T2.PHYSICAL_DEVICE_NAME
          ,T1.backup_start_date AS 'BACKUP_DATE'
          ,ROW_NUMBER() OVER (ORDER BY T1.backup_start_date DESC) AS ROWNUM  
    FROM MSDB.DBO.BACKUPSET T1  
    INNER JOIN MSDB.DBO.BACKUPMEDIAFAMILY T2
        ON T1.MEDIA_SET_ID=T2.MEDIA_SET_ID
            AND T1.DATABASE_NAME='MYDATABASE'
            AND T2.PHYSICAL_DEVICE_NAME LIKE 'EXTERNAL_SERVER%'  --EXTERNO
            AND T2.PHYSICAL_DEVICE_NAME LIKE '%DIFF'       --DIFF
            AND T1.backup_start_date > CONVERT(DATE,GETDATE())
) 
SELECT DATABASE_NAME
      ,PHYSICAL_DEVICE_NAME
      ,BACKUP_DATE
      ,ROWNUM

INTO #TEMP_NOME_E_LOCAL_BACKUP_DIFF
    FROM CTE_RESTORE_ROUTINE_DIFF
        WHERE ROWNUM =  3

ORDER BY BACKUP_DATE DESC

---Insere query de RESTORE na ##TEMP_QUERY_RESTORE_FULL------------------------------------------------ 
SELECT 'RESTORE DATABASE [_'+DATABASE_NAME+'_RESTORE_TESTE'+']'+ CHAR(13) + CHAR(10) +'
            FROM DISK ='''+PHYSICAL_DEVICE_NAME+''''+ CHAR(13) + CHAR(10) +'
                WITH 
                    MOVE ''MYDATABASE'' TO ''Z:FOLDERS\MYDATABASE_RESTORE_TESTE.mdf'',
                    MOVE ''MYDATABASE''TO ''Z:FOLDERS\MYDATABASE_RESTORE_TESTE.ldf''WITH NORECOVERY' AS 'BKP_PATCH_FULL'

INTO #TEMP_QUERY_RESTORE_FULL
FROM #TEMP_NOME_E_LOCAL_BACKUP_FULL

--Seta Variavel para RESTORE FULL
SET @BKPPATCH_FULL = (SELECT BKP_PATCH_FULL FROM #TEMP_QUERY_RESTORE_FULL)

--Executa RESTORE FULL
EXEC (@BKPPATCH_FULL)

-----Insere query de RESTORE na ##TEMP_QUERY_RESTORE_DIFF------------------------------------------------   
SELECT 'RESTORE DATABASE [_'+DATABASE_NAME+'_RESTORE_TESTE'+']'+ CHAR(13) + CHAR(10) +'
            FROM DISK ='''+PHYSICAL_DEVICE_NAME+''''+ CHAR(13) + CHAR(10) +'
                WITH 
                    MOVE ''MYDATABASE'' TO ''Z:FOLDERS\Data\MYDATABASE.mdf'',
                    MOVE ''MYDATABASE''TO ''Z:FOLDERS\MYDATABASE_RESTORE_TESTE.ldf''WITH RECOVERY' AS 'BKP_PATCH_DIFF'
INTO #TEMP_QUERY_RESTORE_DIFF
FROM #TEMP_NOME_E_LOCAL_BACKUP_DIFF

--Seta Variavel para RESTORE DIFF
SET @BKPPATCH_DIFF = (SELECT BKP_PATCH_DIFF FROM #TEMP_QUERY_RESTORE_DIFF)

--Executa RESTORE FULL
EXEC (@BKPPATCH_DIFF)


--Dropa Temps
DROP TABLE #TEMP_NOME_E_LOCAL_BACKUP_FULL
DROP TABLE #TEMP_QUERY_RESTORE_FULL
DROP TABLE #TEMP_NOME_E_LOCAL_BACKUP_DIFF
DROP TABLE #TEMP_QUERY_RESTORE_DIFF

If I use SELECT (@the variable) I can select the entire query to restore the full and the diff, but If I use EXEC (@The variable) It prints this error:

(1 row(s) affected)

(1 row(s) affected)

(1 row(s) affected) Msg 319, Level 15, State 1, Line 7 Incorrect
syntax near the keyword 'with'. If this statement is a common table
expression, an xmlnamespaces clause or a change tracking context
clause, the previous statement must be terminated with a semicolon.

(1 row(s) affected) Msg 319, Level 15, State 1, Line 7 Incorrect
syntax near the keyword 'with'. If this statement is a common table
expression, an xmlnamespaces clause or a change tracking context
clause, the previous statement must be terminated with a semicolon.

I know I can run 2 or more ctes like this:

;WITH dba1 AS(SELECT name AS SQL3, 
              ROW_NUMBER() OVER(ORDER BY name) rn 
                FROM [SERVER\sql3].master.sys.databases),
      dba2 AS(SELECT name AS SQL4, 
              ROW_NUMBER() OVER(ORDER BY name) rn 
                FROM [SERVER\sql4].master.sys.databases),
      dba3 AS(SELECT name AS SQL5, 
              ROW_NUMBER() OVER(ORDER BY name) rn 
                FROM [SERVER\sql5].master.sys.databases)
SELECT SQL3,SQL4,SQL5 
    FROM dba1 c1
FULL JOIN dba2 c2 
    ON c1.rn = c2.rn
FULL JOIN dba3 c3
     ON c1.rn = c3.rn 
        OR c2.rn = c3.rn

But if you can see, i'm inserting data into the #temp tables.
And this is curious to me. Why it works with SELECT and not with EXEC?