Migrating from NTEXT to NVARCHAR(MAX)

"peculiar reason"? Only that ntext is deprecated and damn difficult to work with?

It's a lossless conversion. If you are unsure, use the SSMS GUI designer to generate scripts for you.

No. You can alter your tables (Sql 2005+) cf this.

Or, for your convenience:

alter table my_table alter column my_ntext_column nvarchar(max);

Or you can supply a view which casts the ntext columns to nvarchar(max) to make the client happy and leave your database unchanged.

Is there any possibility of data loss for the NVARCHAR(MAX) limitations?

No. NVARCHAR(MAX) allows for twice as much text (2^31-1 vs. 2^30-1) as ntext.