Randomly generated values in CASE statements return NULL

According to this post, the correct way of generating a random value in SQL Server is:

ABS(CHECKSUM(NewId())) % 14   -- Returns a value between 0 and 13

However, when using this expression in a case statement, such as:

SELECT
    CASE ABS(CHECKSUM(NEWID())) % 4 
        WHEN 0 THEN 'String A' 
        WHEN 1 THEN 'String B' 
        WHEN 2 THEN 'String C' 
        WHEN 3 THEN 'String D'
    END AS RandomString -- Returns String A, B, C, D and NULLs.
FROM sys.all_objects

The outputtet RandomString column contains some NULLs, as can be seen in this SQL fiddle. I have found that I can wrap the randomizing expression in a CTE to avoid NULLs in the output, but I still wonder why the code above returns NULLs?

WITH RandomNumber AS (
    SELECT ABS(CHECKSUM(NEWID())) % 4 AS N FROM sys.all_objects
)
SELECT TOP 100
    CASE N
        WHEN 0 THEN 'String A' 
        WHEN 1 THEN 'String B' 
        WHEN 2 THEN 'String C' 
        WHEN 3 THEN 'String D'
    END AS RandomString -- Does not return any NULLs. Only String A, B, C and D.
FROM RandomNumber

I have tried to generate the random number using a slightly different method, but the result is the same:

CAST(RAND(CHECKSUM(NEWID())) * 4 AS INT)  -- Returns a value between 0 and 3

This seems to be a problem on SQL Server 2014, I have not tested it on other versions.