I tried the verison you gave below and the results where the same .

I typed this in status /unload -rs Core.mrc and the script was unloaded with no messages.

* Unloaded script 'Core.mrc'

Code:
on *:unload:{
  if $script == Core\Core.mrc {
    echo 4 -a SYSTEM ERROR YOU CAN NOT REMOVE CORE
  }
  load -rs Core\Core.mrc
}