I actually copied the <Null> from the table, but just tested by typing and working fine.
Also, noticed that you are using polygon data, so just tested with poly data and it automatically detects the <Null>'s in the symbology field and adds it when I hit the add all values button. Just re-tested with points, and if I hit the add all values button, and I have actual <Null> values in the symbology field, it will add them automatically as well.

However, if I remove it, it still lets me type in the value and add it.
Are you sure there are actual <Null> values in the field? (Not blank, space, or text 'Null')
R_
edit: Tested in Pro 3.2.1, 3.1.3, and 2.9.3 all with same results. Using FGDB polygon feature class