T-SQL COALESCE GROUPING SETS en una sola columna sin duplicados NULL

Lo siento si esto no resulta realmente lo que esperabas, pero si simplemente necesitas deshacerte de los valores NULL, no veo por qué no puedes hacer esto:

;WITH CTEterm AS (
    SELECT
       ROW_NUMBER() OVER (PARTITION BY #term.en, refterm.en
                              ORDER BY #term.en) AS rownumber,
       #term.en AS mainterm,
       CHAR(9) + 'SN ' + #term.enscope AS scopenote,
       CHAR(9) + #link.reltype + CHAR(32) + refterm.en AS subterms,
       CHAR(9) + 'CODE ' + #categorylink.code AS codes
    FROM #link
       INNER JOIN #term ON #term.termid = #link.termid
       INNER JOIN #term AS refterm ON refterm.termid = #link.refid
       LEFT JOIN #categorylink ON #term.termid = #categorylink.termid
)
SELECT
  AggValue
FROM (
  SELECT
    mainterm, codes, subterms, scopenote,
    COALESCE(
      CASE WHEN rownumber = 1 THEN mainterm ELSE NULL END,
      scopenote,
      subterms,
      codes
    ) AS AggValue
  FROM CTEterm
  GROUP BY GROUPING SETS ((mainterm, rownumber), (mainterm, scopenote),
                          (mainterm, subterms), (mainterm, codes))
) s
WHERE AggValue IS NOT NULL
ORDER BY mainterm, codes, subterms, scopenote

Nota:ELSE NULL se elimina aquí solo porque no cambia nada (NULL está implícito cuando no hay ELSE ), no porque ganaría algo al eliminarlo.