>And, this does not work. It seems Raiserror() has no support for concatenation with such syntax.
>

You have to assign your messages to a variable first, then display that variable instead.

Ex.

DECLARE @msg VARCHAR(200);
SET @msg = 'Processing Report at ' + CONVERT(varchar, DATEPART(hour, GETDATE())) + ': '+ RIGHT(REPLICATE('0', 2) 
          + CONVERT(varchar, DATEPART(minute, GETDATE())), 2) + ': '+ RIGHT(REPLICATE('0', 2) 
          + CONVERT(varchar, DATEPART(second, GETDATE())),2)+'...';
RAISEERROR(@msg + '...', 0, 1) WITH NOWAIT;