putting sql-query response directly to foreach-loop?

Is there any reason to not do this?
Putting the query directly inside a foreach-statment when the only time the result is going to be used is within that location..

<select>
<?php foreach($dbh->query('SELECT id, name, so FROM Employees ORDER BY so') as $e): ?>
    <option value="<?=$e['so']?>">-- after "<?=$e['name']?>" --</option>
<?php  endforeach;  ?>
</select>

It seems like I don't have to provide the fetchAll() when doing so either.
In fact, if I just do the following, and not adding any fetch()-methods at all, I still get the result if I put $employees into a foreach-loop:

$employees = $dbh->query('SELECT id, name, so FROM Employees ORDER BY so');
foreach($employees as $e){  /* works same as above */  }

when I do print_r($employees), I only get this string:

PDOStatement Object ( [queryString] => SELECT id, name, so FROM Employees ORDER BY so ) 

Is that correct behaviour?

These are my options for the connection:

            $options = array(
                PDO::ATTR_PERSISTENT => true,
                PDO::ATTR_EMULATE_PREPARES=>false,
                PDO::ATTR_DEFAULT_FETCH_MODE=>PDO::FETCH_ASSOC,
                PDO::MYSQL_ATTR_INIT_COMMAND=>'SET NAMES utf8',
                PDO::ATTR_ERRMODE=>PDO::ERRMODE_EXCEPTION,  //  _SILENT (pub) || _WARNING || _EXCEPTION  (dev)
            );