I think it was said in: http://forums.codeblocks.org/index.php?topic=437.0
Well, that was in June 2005, even before RC1 was released. The devs were not sure whether or not that feature was needed, and made a poll. The poll turned out positive, and subsequently, it was added.
There has been a bit of confusion since then, since some users think it does not matter whether you have a project, so single files have the exact same functionality as project files. When it turns out that this is not the case, they are quite surprised. A couple of features are a lot harder to implement (or don't make sense at all) if you have no project. Therefore, some things don't work the same way without a project.
But that does not mean that compiling and running single files shall generally not be supported. If a user just wants to test whether a give snippet of code works at all, that's fine.
I didn't realize that Code::Blocks was targeted more for the advanced coder with big projects. I just saw an IDE with a simple interface that I'd like to use to learn C++ on.
The good thing is you can do both
But seriously: once you have more than a few dozen lines of code, or more than 3-4 classes, you will see that you actually
want to split your sources into separate files and you are actually happy to have something like a project to organise your stuff. Pain increases exponentially with file size