As Laurent S points out, the sensible way to define $\mathbb{K}^0$ is as the one element set (either $\{0\}$ or $\{\emptyset\}$).
You could likewise argue that since you want $M_{m\times n}(\mathbb{K})$ to correspond to linear transformations from $\mathbb{K}^n$ to $\mathbb{K}^m$, and since $\mathbb{K}^0$ is a perfectly good vector space, then we should define the matrices $M_{0\times n}(\mathbb{K})$ and $M_{m\times 0}(\mathbb{K})$. Then you are certainly forced to define both as the trivial set, since only the trivial linear transformation exists in either case (the zero map for $m=0$, and the trivial inclusion for $n=0$). In that respect, they would fit with the general theory and not require exceptions when describing vector spaces (where you would need to explicitly exclude the zero-dimensional vector space, for instance).
Why, then, are $M_{0\times n}(\mathbb{K})$ and $M_{0\times n'}(\mathbb{K})$ both equal even when $n\neq n'$, if the first "is" a linear transformation from $\mathbb{K}^n$ to $\{0\}$ and the second "is" a linear transformation from $\mathbb{K}^{n'}$ to $\{0\}$, and hence different? The key is the "
. They are both identified with those maps, but as a vector space itself they are in fact isomorphic, so there is no horrible universe-shattering error that crept in by having the "matrix" rings be equal. Of course, now your theorem that $M_{m\times n}(\mathbb{K})$ is uniquely determined (in some way) by the pair $(m,n)$ is no longer true: you need to say that they are equal if and only if either $(m,n)=(m',n')$ or $mn=m'n'=0$.
Such is life: there is often a special case that needs to be dealt with separately, and your choice is whether you exclude it by design or you exclude it by mention. Here, your choice is between specifying "nonzero" in a lot of theorems about vector spaces, or specifying "or $mn=m'n'=0$" in the theorem about matrices. The latter is usually less disruptive. (In set theory, one often has to deal with the emptyset in a special manner; that corresponds to $0$ here).
As to their interest: they have very little structure to them, so they are not generally interesting in and of themselves. They can show up as part of a general scheme (as above, fitting into the role of representing linear transformations between the standard finite dimensional vector spaces) so that exceptions don't need to be made, but as such they play more the role of "exception-avoiders" than "interesting in and of themselves."