First, we have to understand that absolute nihilism is impossible. Following the logic of the question you asked, we might as well ask why do nihilists even argue about anything at all when they know life has no intrinsic value. Why do Jean-Paul Sartre and Friedrich Nietzsche even philosophize at all?
To answer your question
"Why are these so valuable if they don't believe life has any intrinsic value?" well from a nihilistic perspective they aren't valuable at all. But since nothing has any intrinsic meaning, we can create our own.
And to your question regarding the affinity of life, to a nihilist killing himself/herself is just as meaningless as continuing to live. It would not make a difference for a nihilist if he was to think that he/she might not have been born but since he/she has started to exist anyway, a nihilist will continue to do what he wills.
But the question why an existential nihilist has an affinity towards life can't be answered with reference to his philosophies alone. There are other external factors such as his biological and chemical processes, the environment he/she is brought up etc.