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:
CSS
table.myGridClass .empty td
{
border-style: none;
border-width: 0px;
background-color: #ffffdd;
}
ASPX
<asp:GridView ID="myGridView" runat="server" CssClass="myGridClass" BorderWidth="0">
<HeaderStyle CssClass="myHeaderStyle" />
<RowStyle CssClass="myRowStyle" />
<EmptyDataRowStyle CssClass="empty" />
<EmptyDataTemplate>Your message here.</EmptyDataTemplate>