Great article Andy! You make it seem so easy.
One thing I notice with DMO is if there is a
oLinkedServerLogin.LocalLogin = "" user (The Null user you write about) it is worthwhile to check the oLinkedServerLogin.Impersonate. If Impersonate is False then you correctly describe the "Be Made Without Using a Security Context" radio button in EM. If it is true, Then the setting is "Be made using the login's current security context" button. Additionally, if I'm not mistaking, I thing the latter is the default when you create a linked server.
If there is no oLinkedServerLogin.LocalLogin = "" then I believe you have the equivalent to the "Not be Made" radio button.
Thanks again for the article and keep 'em coming.