By accident, one of the el-cheapo motherboards I used about 6 years ago ran with MAC 00:00:00:00:00:00. Interestingly, this wasn’t a problem — I could still communicate with my router and didn’t even notice this for a long time. But then I tried to communicate with my father’s IRIX machine, and we couldn’t get it to work. Until we realized the misconfiguration :).
Perhaps a lot of brute-force try-them-all routines skip the all zeros option, and others consider an all zeros result to be invalid (internally mapped to a "no match" result or so forth). A truer security through obscurity idea I can't imagine though so if that is the case "arguably more secure" is very arguable!