How does T-SQL's unpivot fail to preserve NULLs?

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It is often said that T-SQL's UNPIVOT does not preserve NULL values. For example the docs have this to say:

Also, null values in the input of UNPIVOT disappear in the output.

What part of the input is being spoken about here? As is well-known, the UNPIVOT clause has three parts. The bit before FOR, the bit before the IN, and the collection enclosed in the brackets.

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