| is a special character for regexs. It needs to be escaped.

s/\|\|/|\\N|/;
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However, that solution is far from complete.
What if the first field is empty?
What if the last field is empty?
What if there's more than one empty fields?
What if there's more than one empty fields in a row?
Fix:

s/\|(?=\|)/|\\N/g;
s/^\|/\\N|/;
s/\|$/|\\N/;
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As a one-liner:

perl -pe"s/\|(?=\|)/|\\N/g; s/^\|/\\N|/; s/\|$/|\\N/" infile >outfile
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