If you are like me then you may have a CSS table style for your GridView with a specific border. When you use the the EmptyDataTemplate you may then have a border around your message. I create a CSS class and then use the EmptyDataRowStyle and set its CssClass. Note, in the GridView I am also setting the default border to 0. Example:
table.myGridClass .empty td
<asp:GridView ID="myGridView" runat="server" CssClass="myGridClass" BorderWidth="0">
<HeaderStyle CssClass="myHeaderStyle" />
<RowStyle CssClass="myRowStyle" />
<EmptyDataRowStyle CssClass="empty" />
<EmptyDataTemplate>Your message here.</EmptyDataTemplate>
I found a bug in the September 30, 2009 release of the AJAX Control Toolkit. When you press a button that is inside of a Modal Popup dialog box it will cause a full page postback instead of a partial postback. When I reverted to the May 13, 2009 release this did not occur.
By the way, I also ran into another weird issue on the September 2009 release where random commas were being inserted into my text box on each postback. If you are having this issue I also recommend reverting to the May 2009 release.