If the columns are MOSTLY 'N/A', to me that sounds like a very poor key. Now, if you are going to overwrite that value with a SEQUENCE or IDENTITY value on the column, you run the risk of losing the data that is in that column in the source when it is not 'N/A'. If you pull in the data that exists when it is not 'N/A', you run the risk of duplicate data.
In the end, I think this REALLY depends on your clients. Are they OK with a column like Policy No being overwritten with an auto-generated value? If not, I would recommend a new column be created for the uniquifier which could be a GUID, INT, BIGINT, VARCHAR, whatever you like. Best performance will be an ever increasing numeric type, but a GUID will give you a lot more values if you are expecting to have TONS of rows.
If they are OK with those values being overwritten and lost, then your approach sounds OK for that being a unique key, but you may not want that as your ONLY clustered index key or nonclustered index key. I expect a compound key, likely compounded on the policy name and policy number, would make more sense based on what users would likely be searching for.
But it does depend on how you are using the key. Policy Number would make a decent clustered index key if it was used by a foreign key, but you also posted this in "Data Warehousing", so I am expecting the tables are not normalized as my understanding is of data warehousing (note it is VERY limited) is that you usually have denormalized tables with good indexes to make the SEEKS fast without needing to do a bunch of joins to get your data. If this is accurate, then I would say that a policy number that is a sequence or identity value would not be the best key unless it is only part of key used to ensure uniqueness of the row.
The above is just my opinion though. Others may have better idea on this.
The above is all just my opinion on what you should do.
As with all advice you find on a random internet forum - you shouldn't blindly follow it. Always test on a test server to see if there is negative side effects before making changes to live!