Database Engine will throw below error if any value is missing in the referenced column:
Msg 547, Level 16, State 0, Line 1
The ALTER TABLE statement conflicted with the FOREIGN KEY constraint "NameOfConstraint". The conflict occurred in database "DBName", table "dbo.TableName", column 'ColumnName'.
However, by specifying WITH NOCHECK, the Database Engine can be prevented from checking the data in the column against the new constraint and made to add the new constraint regardless of the data in the column. The WITH NOCHECK option is useful when the existing data already meets the new FOREIGN KEY constraint, or when a business rule requires the constraint to be enforced only from this point forward.
ALTER TABLE TestFK WITH NOCHECK
ADD CONSTRAINT TestFK_IDFK FOREIGN KEY(IDFK)
REFERENCES TestPK (ID)
Note: You should be very careful while adding a constraint WITH NOCHECK option because this bypasses the controls in the Database Engine that enforce the data integrity of the table.