Quotes in Lyrics

[Joseph Austin]

LilyPons Notation Reference 2.1.2 contains the following example of quotes in 
lyrics:

\relative c' { \time 3/4 e4 e4. e8 d4 e d c2. }
\addlyrics { "\"I" am so lone- "ly\"" said she }

And there follows a statement that seems to say a lyrics word can begin with 
backslash quote:

QUOTE: 
A word in Lyrics mode begins with: an alphabetic character, _, ?, !, :, ', the 
control characters ^A through ^F, ^Q through ^W, ^Y, ^^, any 8-bit character 
with ASCII code over 127, or a two-character combination of a backslash 
followed by one of `, ', ", or ^.  
ENDQUOTE.

I don't fully understand the point or effect of the "extra" quotes in the 
example.
Why is the f example incorrect?

\relative c' { \time 3/4 e4 e4. e8 d4 e d c2. }
\addlyrics { \"She is so lone- ly\" said he }

(BTW, adding spaces around the \" doesn't help:
\addlyrics { \" She is so lone- ly \" said he }

I get the following errors:

 Processing `/Users/josephaustin/lilypond/scripts/TEST/quote2.ly'
Parsing...
/Users/josephaustin/lilypond/scripts/TEST/quote2.ly:8:36: error: EOF found 
inside string
\addlyrics { \"She is so lone- ly\"
                                    said he }
/Users/josephaustin/lilypond/scripts/TEST/quote2.ly:8:36: error: Unfinished 
main input
\addlyrics { \"She is so lone- ly\"
                                    said he }
/Users/josephaustin/lilypond/scripts/TEST/quote2.ly:8:36: error: syntax error, 
unexpected end of input
\addlyrics { \"She is so lone- ly\"
                                    said he }
Interpreting music...
...
fatal error: failed files: "/Users/josephaustin/lilypond/scripts/TEST/quote2.ly"