How to Remove Default "All Categories" to show No Results

There is no feature in the plugin itself, but you could do the following:

1) In your results template, check to see if a filter has been set,
2) If a filter has been set, show the results / do the have_posts loop
3) If not, show custom error message.

To see if a filter has been set, you can use the var is_filtered:

https://www.designsandcode.com/documentation/search-filter-pro/accessing-search-data/#Check_to_see_if_anything_has_been_filtered

https://gist.github.com/rmorse/e76fea68c9aab874155a

Thanks