Unfortunately, the plugin doesn't give a way to alter the message without changing the plugin code. At line 141 of syntax.php you will find:
$renderer->doc .= "<strong>Plugin Backlinks: ".$lang['nothingfound']."</strong>".DW_LF;
Here you can substitute your own message.
"<strong>my not found message</strong>".DW_LF;
This means that every time the plugin is updated, you will lose the edit and have to redo it.