That is not an error, more of an indication.
If you really want to check you can manually look in those folders:
You probably do not see anything there because you ran your Substrate blockchain using
--tmp which wipes the db after you shutdown the running blockchain.
Run a temporary node. A temporary directory will be created to store the configuration and will be deleted at the end of the process. Note: the directory is random per process execution.
This directory is used as base path which includes: database, node key and keystore.
When `--dev` is given and no explicit `--base-path`, this option is implied