Not getting the expected results for a simple where not in

Hi List,
I'm a little confused by what seems like it should be a simple query and was hoping someone could explain what's going on.
Using PG 9.4.x

CREATE TABLE aaa.testing_nulls
(
str character varying(10),
status character varying(2)
)

Data:
"first";"aa"
"second";"aa"
"third";null
"fourth";"bb"
null;"aa"
null;"bb"

If I run:
select
str
from
aaa.testing_nulls
where
status in ('aa')

Against the table, I get the expected result:
"first"
"second"
null

But I want to get the items that don't have a value of 'aa'. Obviously in this case I can simply add "not" to the "where status in" but that's not suitable for my actual use-case (which is where this problem came to light). Instead, I'm nesting the original as a subquery:

select
*
from
aaa.testing_nulls
where
str not in
(
select
str
from
aaa.testing_nulls
where
status in ('aa')
)

Conceptually to me at least, this should work. I expect to get the values:
"third"
"fourth"
But instead when I run it I get 0 results.

It seems to relate to the nulls. If I change the above and add "and str is not null" into the subquery:

select
*
from
aaa.testing_nulls
where
str not in
(
select
str
from
aaa.testing_nulls
where
status in ('aa')
and str is not null
)

It now gives the expected results.
Why is this?
(I tested this in SQLite too, and get the same behaviour, so I guess it's a generic SQL thing I've never encountered before.)
Thanks,
Jonathan