When built with MSVC and unicode enabled, using 'message' gave:
warning C4133: 'initializing': incompatible types - from 'TCHAR *' to 'char *'
FormatMessage expands to either FormatMessageA or FormatMessageW
depending if unicode is enabled, and generates either a char (8-bit)
or WCHAR (UTF-16) string accordingly.
Since sp_last_error_message() returns char *, we must use the 8-bit
variant. The message will be encoded in the current code page.