Well, let's simplify a bit, forget all the filter complexity (Q, slope, definition of the cutoff frequency...).
Let's just say that the output of a lowpass filter cannot move faster than the cutoff frequency: a 1Hz filter output cannot move faster than 1Hz (so it can't go back and forth in less than a second or so), a 1kHz can't go back and forth in less than about 1ms, etc. The output of a 0Hz filter can't move... at all. When you set the cutoff to 0Hz, the output freezes to its current value. It won't magically decay to 0.
Hey, if you set the framerate of a movie to 0 frame/second, it will just stop, and will show the same image forever; it won't fade to black!