>>Is for Unicode support, http://support.microsoft.com/kb/239530
>
>Thus, in order to avoid unexpected situations, it is always recommanded to always put N in front a command line defined in a string, such as in my example. Is that correct?

Yes. There are a number of built-in stored procedures that require unicode strings (no particular reasoning behind it AFAIK).

The only downside is that your commands take more space internally - generally not an issue at all.