Concatenating two columns where one contains nulls

Use CONCAT

CONCAT[Document Number],[Dunning Block]) 

CONCAT Ignores nulls

CONCAT takes a variable number of string arguments and concatenates them into a single string. It requires a minimum of two input values; otherwise, an error is raised. All arguments are implicitly converted to string types and then concatenated. Null values are implicitly converted to an empty strin

SET CONCAT_NULL_YIELDS_NULL OFF would only work for concatenating values and NULL- if all values are NULL, you'll still get NULL. I suspect both columns have NULL values in, despite your question title - any of your approaches probably would have worked if you had just inspected the data.

ISNULL should work fine for your situation, but make sure you do it on both columns involved that could be nullable:

SELECT TOP (100) PERCENT Assignment, ISNULL([Document Number],'') + ISNULL([Dunning Block], '') AS [Document Number], [Document Type], [Document Date], [Special G/L Indicator], [Amount in local currency], [Local Currency], [Clearing Document], Text, Account, Reference, [Dunning block], [Invoice reference], SUBSTRING(strDoc_Date, 1, 4) AS Year, CASE WHEN SUBSTRING(strDoc_Date, 1, 4) = '2013' THEN CASE WHEN SUBSTRING(strDoc_Date, 6, 2) = '01' THEN CASE WHEN CAST(SUBSTRING(strDoc_Date, 9, 2) AS INTEGER) > 25 THEN '02' ELSE SUBSTRING(strDoc_Date, 6, 2) END ELSE SUBSTRING(strDoc_Date, 6, 2) END ELSE SUBSTRING(strDoc_Date, 6, 2) END AS Period, SUBSTRING(strDoc_Date, 9, 2) AS Day FROM dbo.Zcustage 

On a side note, using TOP 100 PERCENT here is a no-op - it doesn't do anything.

You need ISNULL

ISNULL(YourNullableField,'')