I actually have the same doubt, while using the SQL Server Connector. I've tried the word NULL without any quotes and it didn' work. Eventually, I've naturally follow the solution that @Brendan Peterson suggested but I'm not totally happy with it, because it means processing records that should I would rather ignore in order to make the process more optimal.
You should be able to use NULL to evaluate where something is equal to a null value. No quotes just the word NULL.
If your source does not like trying to do the filter criteria against a possible NULL value simply use an IF statement to do the evaluation inline, and if ISNULL(entity.field) = TRUE you know the field value is NULL and can proceed to your operation, otherwise use the Continue block to go to the next record.