It is not necessary to shoot Raw+JPEG to get both color and B&W versions of the same image. If you set your picture control to Monochrome, the small JPEG that is created to be viewed on your camera's monitor will be B&W. Your camera's monitor is incapable of displaying a raw image so the camera creates a JPEG as part of the original RAW file so that it can be viewed on the camera's monitor. The JPEG that is created is not a separate file that is saved, just a viewable version that is embedded in the Raw file (this JPEG is also what is viewed when you view the image in Windows Explorer).
The Raw file is unprocessed data and the Picture Control setting only effects how that raw data is displayed when using Nikon software. All of the color information is recorded in the raw file regardless of the Picture Control setting. Using Nikon software you can change the Picture Control, white balance, exposure, etc. without is having any effect on the original raw data file. From within Nikon Capture NX2 you can save different versions of the instruction set used to display the image (monochrome, vivid, etc.). These versions are not completely new files , just differing instructions for NX2 on how to display the image. These additional instructions sets are only a few KB and have no impact on the original image (unless you make the mistake of "Save As" instead of just "Save").
If you need have a print made of the raw file, or post it to the web, then you select "Save as" and choose JPEG (or TIFF for some print applications). This creates a new file with all of your edits, Picture Control setting, etc. applied and saved as a printable/web viewable file.
