That is correct you need to allow for nulls..but you have to change your stored procedure to allow for an 'All' values:
CREATE PROCEDURE rsp_customer_sites @ClientID integer,
@CustomerID bigint
AS
SET NOCOUNT ON
SELECT dbo.ClientCustomerSites.SiteID, dbo.Site.Site
FROM dbo.ClientCustomerSites INNER JOIN
dbo.Site ON dbo.ClientCustomerSites.SiteID = dbo.Site.SiteID
WHERE dbo.ClientCustomerSites.ClientID=@ClientID AND dbo.ClientCustomerSites.CustomerID=@CustomerID
UNION SELECT Null, 'All'
ORDER BY dbo.Site.Site
SET NOCOUNT OFF
GO
Jon
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