You could have undefined value, but it's not particularly intuitive, and I don't think anyone actually advocates it as a component of a consequentialist theory.
Whether, in real life, people actually do it is a different story. I mean, it's quite likely that humans violate the VNM model of rationality, but that could just be because we're not rational.
If it's worth saying, but not worth its own post (even in Discussion), then it goes here.