This should do the trick, however, I can't assure you that because I have nothing to test on.

Be aware that you can't use ORDER BY in a TVF because it would be useless.

If you're not receiving any parameters, you could as well use a view instead of a function (I'm not sure if there would be any difference on performance or something else).

CREATE FUNCTION [dbo].[Cat1AndCat2Sector_cat2]()

RETURNS TABLE

AS

RETURN

(

SELECT STUFF((SELECT ',' + CAST( Code AS varchar( 15))

FROM Knowledge_domains

WHERE DOMAIN_TYPE ='MASTER'

FOR XML PATH('')), 1, 1, '') as Code,

'All' as Name

UNION ALL

SELECT CAST( Code AS varchar(8000)),

Name

FROM Knowledge_domains

WHERE DOMAIN_TYPE ='MASTER'

)

For explanation on the concatenation, read the following article: http://www.sqlservercentral.com/articles/comma+separated+list/71700/