I've just investigated in my install (Sage CRM 7.3 sp2) and found that setting of nulls of text fields work as expected.
In my C# project I can either receive the 'null' from the screen
CRMCompany.website = textBoxComp_WebSite.Text;
Or I can set the null in my code
CRMCompany.website = "";
Either way this results in the actual XML to be the same.
I typically work with setting "Dropdown fields as strings in WSDL file:Yes".