Hi,
Casually I heard just the opposite yesterday. SQL Server query engine uses additional resources to detect the use of NULLs while ANSI_NULL is set to OFF
Here is a good example
http://sqltouch.blogspot.ie/2013/05/ansinulls-joinwhere-and-query-optimizer.html
Indeed the option of using NULLs like other value will be discontinued in future versions
SET ANSI_NULL