Wrong option. ANSI_NULLS controls the results of comparing a value to NULL using = or <>. If ANSI_NULLS is ON, any comparison against a NULL will always return FALSE. If ANSI_NULLS is OFF, a comparison against a NULL will be handled as if the NULL were any other literal. The SQL 92 standard required that ANSI_NULLS be set to ON.
The option that you want is SET CONCAT_NULL_YIELDS_NULL. If it's ON, SELECT 'X'+NULL returns NULL. If it's OFF, SELECT 'X'+NULL returns X
-Mike