When working with a data source (other than a File), a message that appears reading, "There is no data for the criteria you selected. Do you want to select different criteria?" indicates that there is no data in the data source that you are using that meets the criteria that you selected. Change the criteria selected (for example, you may want to adjust the dates selected) and see if that resolves the issue.
If no data is sent back, please re-assess your criteria as well as look to your data source for verification and understanding.
A common issue with some data sources is that their API operates a UTC time and not local time to the user. As such, the data may be there, but presented at a different time. It may be worth highlighting that since it is the Data Source and the API who determine what data is presented, this is not something Importacular can control.