In procedure TCustomDateTimePicker.Paint there is a condition
if DateIsNull and (FTextForNullDate > '')
and (not (FTextEnabled and Focused)) then begin
If you remove the second line ("and (not FTextEnabled and Focused))") then the NULL works correctly.
The "FTextEnabled" becomes false if the control is disabled or the property "Checked" is false (see method "GetChecked"). But, if I try to turn off "Checked" in the Object Inspector it immediately jumps back to the checked state.
I don't know what this "Checked" is good for, but I guess this is a bug. Please file a bug report, and the author will certainly fix the bug quickly. In the meantime, you probably can live with the patch mentioned above.