When the dataset returns no rows, a bit of U.I. certainly goes a long way to avoid any confusion for the user running your report.
Create a textbox somewhere convenient on the page, and enter this in the expression for your textbox, substituting in your real dataset and field name.
=IIF(Count(Fields!DatasetFieldName.Value, "your_dataset") = 0, "No Data Returned", Nothing)
…then enter this in the Hidden property expression for the same textbox.
=IIF(Count(Fields!DataSetFieldName.Value, "your_dataset") = 0, False, True)