Well, I cannot reproduce the problem. It is empty string, not null.

Are you sure you loaded the element?  The following program prints
"Empty:Craig".  Note that I had to wrap your XML in a root element so that
it becomes a well formed XML document.

Imports System
Imports System.Xml

Module Module1

   Sub Main()

       Dim doc As New XmlDocument()
       Dim e As XmlElement
       Dim v As String

       doc.LoadXml("<test>" + _
             "<DATA name='John' value='23' />" + _
             "<DATA name='Betty' value='71' />" + _
             "<DATA name='Craig' value='' />" + _
             "<DATA name='Lisa' value='42' />" + _
             "</test>")

       For Each e In doc.SelectNodes("/test/DATA")
           With (e)
               v = .Attributes("value").Value
               If (v = String.Empty) Then
                   Console.WriteLine("Empty:" + .Attributes("name").Value)
               End If
           End With
       Next
       Return
   End Sub
End Module