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What it's indirectly saying is, to avoid a space, use .. instead of no operator at all. When there's no operator at all, each string or potentially variable is considered a separate argument.

First of all, I don't know if it's a typo on your end or if that's the actual result you're getting, but :echo 'a' 'b' for me (Vim 8.2 1-3013) echos a b. The point behind using the .. operator is to do string concatenation instead of applying "simulated" varargs that have a space appended between each argument. In a manner of speaking, the way echo works can be compared to Python's print() function: If you print('a', 'b'), you get a b, but if you print(a + b). The point is, this demonstrates that . and .. do the same thing in this specific context: it does string concatenation instead of passing "multiple arguments" to echo. Demonstration aside, let's look at some actual evidence of that from the help.

What it's indirectly saying is, to avoid a space in the resulting string that's executed, use .. instead of no operator at all. When there's no operator at all, each string or potentially variable is considered a separate argument.

The point behind using the .. operator is to do string concatenation instead of applying "simulated" varargs that have a space appended between each argument. In a manner of speaking, the way echo and execute works can be compared to Python's print() function: If you print('a', 'b'), you get a b, but if you print(a + b), you get ab. The point is, this demonstrates that . and .. do the same thing in this specific context: it does string concatenation instead of passing "multiple arguments" to echo. You've already noticed this on your own, but combined with how execute and echo work with space-separated strings, it might be more obvious that it's just normal string concatenation. Demonstration aside, let's look at some actual evidence of that from the help.

First of all, I don't know if it's a typo on your end or if that's the actual result you're getting, but :echo 'a' 'b' for me (Vim 8.2 1-3013) echos a b. The point behind using the .. operator is to do string concatenation instead of applying "simulated" varargs that have a space appended between each argument. In a manner of speaking, the way echo works can be compared to Python's print() function: If you print('a', 'b'), you get a b, but if you print(a + b). The point is, this demonstrates that . and .. do the same thing in this specific context: it does string concatenation instead of passing "multiple arguments" to echo. Demonstration aside, let's look at some actual evidence of that.

expr6 . expr6 String concatenation *expr-.* expr6 .. expr6   String concatenation *expr-..* [...] For String concatenation ".." is preferred, since "." is ambiguous, it is also used for |Dict| member access and floating point numbers. When |vimscript-version| is 2 or higher, using "." is not allowed. 

First of all, I don't know if it's a typo on your end or if that's the actual result you're getting, but :echo 'a' 'b' for me (Vim 8.2 1-3013) echos a b. The point behind using the .. operator is to do string concatenation instead of applying "simulated" varargs that have a space appended between each argument. In a manner of speaking, the way echo works can be compared to Python's print() function: If you print('a', 'b'), you get a b, but if you print(a + b). The point is, this demonstrates that . and .. do the same thing in this specific context: it does string concatenation instead of passing "multiple arguments" to echo. Demonstration aside, let's look at some actual evidence of that from the help.

expr6 . expr6 String concatenation *expr-.*  expr6 .. expr6  String concatenation *expr-..* [...] For String concatenation ".." is preferred, since "." is ambiguous, it is also used for |Dict| member access and floating point numbers. When |vimscript-version| is 2 or higher, using "." is not allowed. 

As for finding it, I personally wrote :h .<tab> and used wildmenu to navigate until I found something that looked like it could work. A more searchable option (in this case) would've been to use :helpgrep \cstring concatenation (\c means case-insensitive). This also gives a lot of additional help that covers . and .., and some of which again repeats how . is ambiguous.

See also this fantastic answer on navigating Vim's documentation.

As for finding it, I personally wrote :h .<tab> and used wildmenu to navigate until I found something that looked like it could be relevant ("expr-. looks awfully relevant given that it's used in an expression"). A more searchable option (in this case) would've been to use :helpgrep \cstring concatenation (\c means case-insensitive). This also gives a lot of additional help that covers . and .., and some of which again repeats how . is ambiguous and that .. is preferred.

See also this fantastic answer on navigating Vim's documentation - a part of it is still guessing relevant keywords, although that's not too different from using a search engine if you prefer thinking about it like that. (Documentation sprawl doesn't help either :) )