I'm afraid that there is no such thing as a B&W RAW file, it's the data directly from the sensor and the sensor always captures color information. The camera processes out the color for the JPGs. Capture reads from the NEF that it's supposed to be black and white and performs the same filtering. Adobe isn't that bright and just displays the color information so you'll have to manually remove the color.
Bob is correct - you'll get a better B&W in post-processing anyway. I use ACR and by varying the WB & hue, you can get some great results. There are other methods and adjustements that can be made as well.
I played with the in-camera B&W with varying satisfaction. Look for great tutorials on the web for using PS CHANNELS for manipulating B&W attrubutes, nothing comes close. So, shoot in color, edit with "greyscale" clicked and alter with RGB channels.