I added an event OnAddStyleToLegend to the TChartStyles component in Laz/main. It has a boolean parameter in which you can decide whether this particular style level should be included in the legend:
type
TAddStyleToLegendEvent = procedure (AStyle: TChartStyle; ASeries: TObject;
var AddToLegend: Boolean) of object;
Note that, in order to avoid complicating the unit dependencies, the series which triggers the event is passed only as a TObject. Therefore, you must cast it to the series type needed.
Find a simple demo program in the attachment. Note also that it is your decision to define what you mean by "no data". In the demo, the empty values are set to NaN, as usual in TAChart. But in case of the stacked series you might use a zero value as well.