--Типа вот этих трёх вариантов (сравните производительность скриптов на своей базе и выберите оптимальный):
  --вариант 1
  insert into GrTest2.dbo.CT([CustomerType])
  select distinct [CustomerType]
  FROM [GrTest].[dbo].[TestBig]
  except
  select [CustomerType]
  from Grtest2.dbo.ct

  --вариант 2
  merge GRtest2.dbo.CT as target
  using
  (select distinct [CustomerType] FROM [GrTest].[dbo].[TestBig]) as source
  on target.[CustomerType]=source.[CustomerType]
  when not matched then
  insert ([CustomerType])
  values(source.[CustomerType]);

  --вариант 3
  insert into GrTest2.dbo.CT([CustomerType])
  select distinct [GrTest].[dbo].[TestBig].[CustomerType]
  FROM [GrTest].[dbo].[TestBig]
  left join 
  Grtest2.dbo.ct
  on [GrTest].[dbo].[TestBig].[CustomerType]=Grtest2.dbo.ct.[CustomerType]
  where Grtest2.dbo.ct.[CustomerType] is null

SELECT distinct [CustomerType]
INTO GrTest2.dbo.CT
FROM [GrTest].[dbo].[TestBig]
WHERE [CustomerType] =1