How do I override the default sorting when filtering a view by Taxonomy terms?
Maybe the MySQL IFNULL() function could be the solution. It allows you to check the selected field value and give it a custom one when null.
In your SQL statement, instead of

node_data_field_important.field_important_value AS node_data_field_important_field_important_value


you should have:

IFNULL(node_data_field_important.field_important_value,0)  AS node_data_field_important_field_important_value


Try the modified SQL statement in your MySQL Query Browser and see if it works.

I'm an old database administrator, but a Drupal beginner, so I don't really know how to put this function in a View using the web interface. Do you?

I'm searching a way to add custom SQL to views (because as a beginner I'm interested too) and found something about hook_views_query_alter(). It belongs to Views 2 API.
You should use that hook to change the corresponding array value using your exported view code as reference for array indexes. I have no time to try it, but probably this is the right way.

IMHO another way should be taking the exported view code, modify it manually adding the IFNULL() MySQL function on the field name and then reimport it into a new view. I'm not sure that Drupal will write a correct SQL query or that it won't discard some SQL it doesn't expect... This should be the same as using the hook above, but in a rude and not to so elegant manner...

Hope it helps.