Thanks for your suggestion, the result of this test is incredible :

With a SELECT the 0x00 character is not present and after use a FOR XML EXPLICIT the 0x00 character magically appears at the end of a CDATA element like this ...0x00]]><...

I tried to force other column to CDATA but nothing appends.

The column which cause this problem have as Data Type text, and store HTML code.

have you already see that ?