The dropdown in Pega 7 does have a configurable placeholder as shown below (yellow highlight). However there is not a special placeholder for when no options are available in the drop down.
It is not very user friendly to show a drop down when there are no options to select, so instead of showing an empty dropdown, you could disable or hide the dropdown when there are no results using a when rule (as shown below in green highlight)
If you really want to see some kind of message that says "No results found" then you could configure a hidden layout containing this message that will only be visible when no results are found for the dropdown (i.e. the reverse of the NoResultsFound when rule example above).
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