Converting a VARCHAR to VARBINARY
You need to use a specific style when you expect to keep the same binary value when converting from a string. Otherwise SQL Server tries to encode the string the same way it would encode 'bob' or 'frank'.

That said, your input string doesn't look correct - there is either a byte missing or one byte too many. This works fine if I drop the trailing E:

SELECT CONVERT(VARBINARY(25), '0x9473FBCCBC01AF', 1);
------------ the ,1 is important ---------------^^^


Result is binary:

----------------
0x9473FBCCBC01AF