Why does bash interpret “n” as new line character in interactive shells only and not when executing a shell script also?

Running in an interactive bash shell:

$ echo "hellonworld"
hello
world

Running as a script using bash:

$ echo 'echo "hello\nworld"' > hello_world.sh
$ bash hello_world.sh
hellonworld

Running as a script using sh:

$ sh hello_world.sh
hello
world