Same for me for selection the "wrong" right option.
But probably none of the answers is right, or it should have been a combination of options. The thing is that one thing not mentioned, but that is very important here, is the value for the database option ANSI_NULL_DEFAULT. If this is OFF, then the insert query would not even have worked, since the columns would have been created with NOT NULL, because of the default settings as specified of ANSI_NULL_DEFAULT_OFF and ANSI_NULL_DEFAULT_ON.
In SSMS you might not notice this, because of the fact that the query options by default set ANSI_NULL_DEFAULT_ON to ON.