You can use COALESCE:

SELECT  orderhed.ordernum, 
    orderhed.orderdate, 
    currrate.currencycode,  
    coalesce(currrate.currentrate, 1) as currentrate
FROM orderhed 
LEFT OUTER JOIN currrate 
    ON orderhed.company = currrate.company 
    AND orderhed.orderdate = currrate.effectivedate

Or even IsNull():

SELECT  orderhed.ordernum, 
    orderhed.orderdate, 
    currrate.currencycode,  
    IsNull(currrate.currentrate, 1) as currentrate
FROM orderhed 
LEFT OUTER JOIN currrate 
    ON orderhed.company = currrate.company 
    AND orderhed.orderdate = currrate.effectivedate

Here is an article to help decide between COALESCE and IsNull:

http://www.mssqltips.com/sqlservertip/2689/deciding-between-coalesce-and-isnull-in-sql-server/

and another way to skin that cat (flexible for not just null comparisons)...

select if(field_a is not null, field_a, field_b) from...

SELECT c.name, IF(a.addressid IS NULL,0,1) AS addressexists
FROM customers c
LEFT JOIN addresses a ON c.customerid = a.customerid
WHERE customerid = 123

The problem is likely the comparison to NULL, as explained in David Spillett's answer above. When @UserRole = 'Analyst', the comparison SupervisorApprovedBy = NULL will give UNKNOWN (and the row won't pass the WHERE test).

You can rewrite with nested CASE expressions:

WHERE 1 =
  CASE 
    WHEN @UserRole = 'Analyst' THEN 
        CASE WHEN SupervisorApprovedBy IS NULL THEN 1 END
    WHEN SupervisorApprovedBy IS NOT NULL THEN 1
  END

Or a complicated CASE expression:

WHERE 1 =
  CASE 
    WHEN @UserRole = 'Analyst' AND SupervisorApprovedBy IS NULL THEN 1
    WHEN @UserRole = 'Analyst' THEN 0
    WHEN SupervisorApprovedBy IS NOT NULL THEN 1
  END

or with a bit more easy to understand AND / OR:

WHERE 
    @UserRole = 'Analyst'  AND SupervisorApprovedBy IS NULL 
 OR @UserRole <> 'Analyst' AND SupervisorApprovedBy IS NOT NULL 
 OR @UserRole IS NULL      AND SupervisorApprovedBy IS NOT NULL 

Another issue is that SupervisorApprovedBy = SupervisorApprovedBy (and the equivalent SupervisorApprovedBy IS NOT NULL I used above) will not give you "all data". The rows where SupervisorApprovedBy is null will not be returned. If you do want them all, the conditions should be all adjusted:

WHERE 1 =
  CASE 
    WHEN @UserRole = 'Analyst' THEN 
        CASE WHEN SupervisorApprovedBy IS NULL THEN 1 END
    ELSE 1
  END


WHERE 1 =
  CASE 
    WHEN @UserRole = 'Analyst' AND SupervisorApprovedBy IS NULL THEN 1
    WHEN @UserRole = 'Analyst' THEN 0
    ELSE 1
  END


WHERE 
    @UserRole = 'Analyst'  AND SupervisorApprovedBy IS NULL 
 OR @UserRole <> 'Analyst' 
 OR @UserRole IS NULL