there are two ways around this I can see - a simple workaround would be run the query so the output is in text mode, does that suit?? Also your SQL has an error in that it does not change database context in the loop, a use database statement needs to be part of the overall query, so that gives the following -

-- List out all users and user roles of all databases in a SQL Server instance

set nocount on

set quoted_identifier off

Declare @name varchar(100)

Declare @sqlstatement nvarchar(4000)

--move declare cursor into sql to be executed

Declare users_cursor CURSOR FOR Select name from sys.databases where database_id > 4

OPEN users_cursor

FETCH NEXT FROM users_cursor

INTO @name

WHILE @@FETCH_STATUS = 0

BEGIN

print 'Database ' + @name

set @sqlstatement = N'use [' + @name +']'+char(13)+N'select

convert(char(30),dp2.name) UserName,convert(char(20),dp2.type_desc) UserType, convert(char(20),dp.name) Role

FROM sys.database_principals dp

INNER JOIN sys.database_role_members drm ON dp.principal_id = drm.role_principal_id

INNER JOIN sys.database_principals dp2 ON drm.member_principal_id = dp2.principal_id

WHERE dp2.principal_id > 4 AND dp2.type <>'+'''R'''

exec sp_executesql @sqlstatement

FETCH NEXT FROM users_cursor --have to fetch again within loop

INTO @name

END

CLOSE users_cursor

DEALLOCATE users_cursor

An alternative is to use coalesce (built on the back of some SQL I cribbed from somewhere) This can have issues with collations. -

--===== Declare a variable to hold the command we're going to build

DECLARE @MyCmd nVARCHAR(MAX)

declare @name NVARCHAR(200)

--===== Build the command to interrogate every database as if we were using a cursor.

-- If you want to include report servers, we'll need to do those separately

-- because of collation problems with some of the names. You'd have this same

-- problem if you used a cursor to insert into one table.

SELECT @MyCmd = COALESCE(@MyCmd+' UNION ALL'+CHAR(10),'')

+ 'select '''+Name+''' AS DBName,convert(char(30),dp2.name) UserName,convert(char(20),dp2.type_desc) UserType, convert(char(20),dp.name) Role

FROM '+Name+'.sys.database_principals dp

INNER JOIN '+Name+'.sys.database_role_members drm ON dp.principal_id = drm.role_principal_id

INNER JOIN '+Name+'.sys.database_principals dp2 ON drm.member_principal_id = dp2.principal_id

WHERE dp2.principal_id > 4 AND dp2.type <>'+'''R'''

FROM Master.Sys.DataBases

WHERE DataBase_ID > 5

and name not like 'report%'

--===== Display, then execute the cursor

PRINT @MyCmd

EXEC (@MyCmd)