Adding non-nullable NEWSEQUENTIALID() column to existing table
1) there is no need to add a NULL-able column, update, then alter it. It can be done in one pass using the WITH VALUES syntax (see http://sqlfiddle.com/#!3/5e1dea/2):

ALTER TABLE MyTable 
ADD MyColumn UNIQUEIDENTIFIER NOT NULL
  DEFAULT NEWSEQUENTIALID()
WITH VALUES;


2) Use of NEWID() vs NEWSEQUENTIALID() is a moot point if you do it in one pass. But for the sake of the argument, lets see what happens. The use of sequential GUIDs is only relevant if you index the column. Because random GUIDs are so random, inserting new values results in frequent page splits. For a clustered index column this can be really problematic. But you are not updating an indexed column, so the point is irrelevant. Had you add an nonclustered index later, the index builder would first sort the column then build the index. Afterwards new inserts would find a spot in the table where the sequential GUIDs would happen to sort between the random GUIDs and the start growing the table from there. This would be basically a tail-page split (even though is not a tail-page) so it would still be OK.

Overall I think the use of WITH VALUES syntax (which is surprisingly little known) renders your question obsolete. I don't think you had to do the ALTER in three steps.