In the report template, I suspect you have a 'report' filter and possibly an 'object' filter on a report 'image' or 'table' object or some other combination with filter dimension values from the same dimension causing the empty set message.
Ex: Dimension used is 'City'
Table object filter : 'Portugal'
Report filter: 'Madrid'
This type combination will yield the 'empty set' error.
Hope this helps.
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