Actually, we were both right.
You are correct that if you create an EntityListManager with a NullEntity, then the NullEntity will be automatically removed even if the filter always evaluates to true.
My example is also correct in that you must create a filter which accepts the NullEntity. However, the secret of my example working is that I add the NullEntity after the EntityListManager is created. I tried this with your code, and now your NullEntity is no longer removed:
public static EntityList<T> RetrieveWithNull<T>(PersistenceManager pManager) where T : Entity {
EntityList<T> entityList = pManager.GetEntities<T>();
entityList.ApplySort("LastName", System.ComponentModel.ListSortDirection.Ascending, true);
entityList.ListManager = new EntityListManager<T>(pManager, delegate(T pEntity) { return true; }, null, entityList, true);
entityList.Add(pManager.GetNullEntity<T>());
return entityList;
}