The Value property is type DateTime, so of course it always has a value. It's up to you to test the value of the Checked property and then use or don't use the Value property. It's not going to magic it for you.
vb.net Code:
  1. If myDateTimePicker.Checked Then
  2.     'Use myDateTimePicker.Value here.
  3. Else
  4.     'Don't use myDateTimePicker.Value.
  5. End If