I suppose you didn't read the second part of the property's description? :)
Indicates Ethernet MAC Address of the device. Default, is Null (Non-Default property) for this property when returned as part of managedDevice entity. Individual get call with select query options is needed to retrieve actual values. Example: deviceManagement/managedDevices({managedDeviceId})?$select=ethernetMacAddress Supports: $select. $Search is not supported. Read-only. This property is read-only.
The same behavior is observed by other properties/resources across the Graph, you get null/default values when using the LIST method, and have to use individual GET requests (with or without $select) to get the "real" property value.