NT 4.0 sp5 SQL Server 7.0 sp1

When attempting multiple string concatenation ,The default behaviour of SQL Server 7.0 is to return null if any of the strings are null.

This can be changed by The SET CONCAT_NULL_YIELDS_NULL OFF session level parameter (All works fine).

I would like to set this as a dboption , however (sp_dboption dbname, 'concat null yields null', false), does not appear to work.
That is the result through Query Analyser, DBArtisan appears to be inconsistent in it's results.

I would like to know if I'm making any errors, or is it a known BUG