This is intentional, as an empty homepage is not a typical user scenario. You can hide the categories label via custom CSS, or custom JS if you want to hide it only when there are no categories.
Custom Dialogue or Message Box (Modal Popup) in home page..
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How I can Insert a custom Modal dialogue or Splash Screen kind of Popup which will apear once someone open the site..
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Ahhhh, Why would you want to do something so evil!!
Anyway, just call bootbox in the Custom HTML section of the ACP. (Make sure you check the box at the bottom.)
<script> $(function(){ bootbox.alert("Welcome"); }); </script>
Bootbox docs for more info: http://bootboxjs.com/