This has been confirmed in 4.0.6 on the web and as a standalone for both print and printf.

Output from a test:
(root) hot: 1 : /content/adcritic --> php
<?php
printf('<a href="http://">%s</a>\n',"hi");
X-Powered-By: PHP/4.0.6
Content-type: text/html


<a href="http://">hi</a>\n(root) hot: 1 : /content/adcritic --> php
<?php
printf("<a href='http://'>%s</a>\n","hi");
X-Powered-By: PHP/4.0.6
Content-type: text/html

<a href='http://'>hi</a>

This works:
printf("<a href='http://'>%s</a>\n","hi");

This does NOT work (prints literal "\n"):
printf('<a href="http://">%s</a>\n',"hi");

Same applies to print.