Daniel Hutmacher shows us situations in which nullable columns can lead to worse performance:
We expected the Semi Join to turn into an Anti Semi Join, but the plan now also contains a Nested Loop branch with a Row Count Spool – what’s that about? Turns out the Row Count Spool, along with its index seek, has to do with the NOT IN() and the fact that we’re looking at a nullable column. Remember that…
x NOT IN (y, z, NULL)
… always returns false, because the NULL value could represent essentially anything, including the x. And so it is with the inner table, if there happens to be a NULL value among those rows.
Definitely worth the read. There are ways around this performance hit but design decisions have consequences.