If X is greater than 0, you can't choose zero targets. You must choose between one and X targets. If X is 0, you can't choose any targets.
You choose how many targets Rolling Thunder has and how the damage is divided as you cast the spell. Each target must receive at least 1 damage.
If some, but not all, of the targets become illegal by the time Rolling Thunder tries to resolve, the original division of damage still applies, but no damage is dealt to illegal targets. If all the targets are illegal, the spell will be countered.
If Rolling Thunder is copied, the copy will retain the original damage divsion. The spell or ability will likely allow you to choose new targets, but you can't change the way damage is divided.