I still could not run your CTE due to type mismatch error. (I guess when you do CHAR concatenation in the recursive CTE you should cast to NVARCHAR). However, looks like your solution will not perform good enough anyway.

Try this instead:

SELECT HeaderKey

,STUFF((SELECT ', ' + RTRIM(CAST(f2.PurchaseOrderNumber AS VARCHAR(30)))

FROM FreightContents AS f2

WHERE f2.HeaderKey = f1.HeaderKey

ORDER BY PurchaseOrderNumber

FOR XML PATH ('')), 1, 2, '') AS PO_list

FROM FreightContents AS f1

GROUP BY HeaderKey