Without the N prefix, the string is converted to the default code page of the database. This default code page may not recognize certain characters. For more information, see nchar and nvarchar (Transact-SQL) at docs.microsoft.com.

Example (Microsoft SQL Server):

SELECT 'abcde' AS a;
SELECT N'abcde' AS b;
SELECT 'абвгд' AS c;
SELECT N'абвгд' AS d;

The SELECT 'абвгд' AS c; does not have the N prefix, the 'абвгд' part will be highlighted.