It means exactly what it says. If you open it in a hex editor to see what data is inside, it'll all be the same values over and over until the end of the file. It's like a word document filled with F. Is there an essay in the document? No, it's just repeating F's.
What causes the save data to be empty? For Gen1/2 cartridges, the battery keeps the save file "alive", and when it dies, the data resets back to a default state. For later generations, they don't need a battery to retain data, but if you never save in-game to flush your progress to the save file (like using save states exclusively), then you'll never update your save data from the initial values it had.
PKHeX is telling you "Please ensure it was properly saved". So, did you properly save your game?