Hee Rafael,
You can do this very easily like this:
Hope this helps !
Good luck
Hi Rafael Matos,
you can select the option as Custom for Empty list message in Datagrid2 properties as shown in below screenshot(1).
Then there will be a widget holder for empty list message as rounded in screenshot(2). Drag a text widget there and change it according to you as in screenshot(3).
That's it.
Hope it helps.