Can you share the link to the page where this is displaying, or let me know what exactly you’re seeing? Is there text being displayed, or is it a visual element that’s part of your theme, like a box or an outline?
I just checked the code and verified that it should be bailing out before displaying anything if “Message to display if no posts are found:” is left blank. (Be sure it’s actually blank and doesn’t have invisible characters like spaces in it, although the plugin should be accounting for that as well.)
I would also suggest testing for a plugin conflict —?turn off your other plugins one by one to see if the problem is only happening when a certain other plugin is also active.