Hmm, I wouldn't say that the code is gone after compiling it. Open up the created exe file in a hex editor, and have a look at the almost bottom. I recognize my code there, in real letters :).
There are recognisable names of variables, functions and constants, but it isn't Blitz code. Really ... I guess blitz is interpreted like VB or a scripting language as opposed to already compiled ... hmmm, I didn't know that.
No - Blitz is a compiler not an interpreter.