Code required to make column not nullable
Just take care of current NULL values by updating them to a default value.
Then do your ALTER TABLE

Example for an integer

UPDATE [MyTable]
SET [MyColumn] = 0
WHERE [MyColumn] IS NULL;
ALTER TABLE [MyTable] ALTER COLUMN [MyColumn] INTEGER NOT NULL;


Example for a varchar

UPDATE [MyTable]
SET [MyColumn] = ''
WHERE [MyColumn] IS NULL;
ALTER TABLE [MyTable] ALTER COLUMN [MyColumn] VARCHAR(max) NOT NULL;


Altering a column: null to not null

Security Measure

Before, make sure you backup your database in case of you screw it all

To make short

This whole complex scenario made by SSMS is not necessary there is no problem doing a plain ALTER TABLE