https://stackoverflow.com/questions/5658457/not-equal-operator-on-null
<> is Standard SQL-92; != is its equivalent. Both evaluate for values, which NULL is not -- NULL is a placeholder to say there is the absence of a value.
Which is why you can only use IS NULL/IS NOT NULL as predicates for such situations.
This behavior is not specific to SQL Server. All standards-compliant SQL dialects work the same way.
Note: To compare if your value is not null, you use IS NOT NULL, while to compare with not null value, you use <> 'YOUR_VALUE'. I can't say if my value equals or not equals to NULL, but I can say if my value is NULL or NOT NULL. I can compare if my value is something other than NULL.