Fyi, this is my execution plan for the smart filter query:

StmtText                                                                                                                                   

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  |--Bookmark Lookup(BOOKMARK[Bmk1000]), OBJECT[Northwind].[dbo].[Customers]))

       |--Index Scan(OBJECT[Northwind].[dbo].[Customers].[City]),  WHERE[Customers].[CustomerID]=[@CustomerID] OR [@CustomerID]=NULL))

My Northwind database is unaltered (I never used it until today). I updated the statistics (UPDATE STATISTICS customers WITH FULLSCAN) but I get the same query plan. I'm running SQL 2000 SP3a btw.