If you trace sql profiler to trace the commands, you should see your polling statement being triggered,
and because empty was return, it give you this warning message.
My setting is different, i have ambienttransaction = false, pollwhiledatafound = false
the differences is, in my stored procedure I have this to making it "xml"
if [datarow count] > 0
begin
–xml generating statements
end
else
begin
select ' ' for xml path('')
end