Använd Collate i CONCAT

Du sätter COLLATE efter varje fält, nämligen i värsta fall:

SELECT DISTINCT
    CONCAT(p.FULLNAMES COLLATE Latin1_General_CI_AS, 
      (CONCAT(' ' COLLATE Latin1_General_CI_AS, 
          p.SURNAME COLLATE Latin1_General_CI_AS))) AS NAME
FROM Person p