To reproduce, use the following class:
public class NullableDummy
{
    public bool? Bool { get; set; }
    public byte? Byte { get; set; }
    public char? Char { get; set; }
    public decimal? Decimal { get; set; }
    public float? Float { get; set; }
    public int? Int { get; set; }
    public long? Long { get; set; }
    public sbyte? Sbyte { get; set; }
    public short? Short { get; set; }
    public string String { get; set; }
    public ulong? Ulong { get; set; }
    public ushort? Ushort{ get; set; }
}

And set it as a selected object of the property grid:
NullableDummy dummy = new NullableDummy();
this.propertyGrid.SelectedObject = dummy;

Change the Byte Property you will see that the value is not being set.