That's their magic sauce. Well, it is not just them who are employing this technique now but they were the one that first introduced this particular method.
Each payout includes funds from the wager transaction. So if the wager transaction never confirms, then neither will the payout. This provides the ability for SatoshiDICE to send a payout on 0/unconfirmed and not have to worry about sending a payout with the risk that later the wager will end up being a double-spend.
There is one weakness with this in that if SatoshiDICE is revealing win/loss immediately, there is then a small chance to cheat then bydouble spending only the losing wagers. This was evidenced in this thread:
Double Spend against a satoshidice loss
- https://bitcointalksearch.org/topic/success-double-spend-against-a-satoshidice-loss-130764
But SatoshiDICE made a change and now the chances of that tactic may no longer be a profitable method to cheat the service. The change made was to treat wagers with no fee paid different, where it is not processed until the transaction gets one confirmation.
Since they are linked, the payout will only confirm in the same block when the wager transaction confirms or in a subsequent block.