I’m not really bothered by the “that’s sad”. I don’t find it “depressing”. It’s a small joke, a kind of wink 
What I find a little strange is more the “latest” part, when it doesn’t really have anything to do with “latest”. All the searches of tracked or watched topics return the results in the “latest” page (which may already be a small oddity in itself), and probably sort them by date (I would assume), so = “latest” !?
It would be more logical to have a “There are no “tracked” / “watched” topics”.
Also, in the preferences, you have to go into the “category” section to perform a search of the TOPICS you actually track or watch (by clicking “show” above the boxes where you enter the categories). Not the most logical thing. Not the most illogical either, but maybe strange the first few times.
You get returned all the topics you watch or track by clicking on “show” without any distinction if it’s because you created the topic, posted in it, stayed in it for more than x minutes, chose to track/watch manually (=All the “individual” topics watching/tracking) or because you’re actually tracking/watching tags or categories. It’s all mixed up in one single big return. Which is useful and should exist. But maybe several other searches in the respective portions of the preferences could return a list of the topic you’re individually T/W (tracking/watching), T/W because of categories T/W’ed, T/W because of tags T/W’ed, or everything T/W’ed (=the current search)
It could make sense to return the results in a different tab than “latest”, or simply to rename “latest” while it’s showing the results of the search.
Anyway, all suggestions. Make of them what you want. The point is that there may be room for improvement in term of UX. As for the initial point: “it’s sad”, you could just remove it, or replace it with something more “joyful” while keeping the initial “spirit”:
"Start following/tracking some topics to get results next time " or anything in that kind of idea (+maybe a link, indeed)