When is a record NULL?

How can a record be neither NULL or NOT NULL?

try=# select ROW(1, NULL) IS NULL;
?column?
----------
f
(1 row)

try=# select ROW(1, NULL) IS NOT NULL;
?column?
----------
f
(1 row)

This makes it rather hard to tell, in PL/pgSQL, when I've fetched the
last record from a cursor…

Best,

David