To find empty methods the IDE needs to know which class(es) to search.
If the cursor is not somewhere inside a class, it seems logical to me that the Remove Empty Methods dialog points out that the user has not identified a class for it to search.
There are at least two other ways of identifying/removing empty methods:
If you open the IDE Options dialog (Tools->Options),
Editor, Completion and Hints, offers Auto-remove empty methods. Any time you rebuild/recompile (perhaps even on Idle, not sure), any empty method(s) will be removed, irrespective of where your cursor is.
Codetools, Code Explorer, Code Observer, offers to identify not only empty class sections but empty procedures and empty blocks. For this functionality it does not matter where your cursor is located.