That message just means that the media files included in your LR categories / playlists are already in your LR Media Library folder (this is an actual folder in your computer's 'C:\...\Application Data' directory)
Sometimes when editing words in LR, the media files you add don't get copied automatically into LR's Media Library, and this is what the 'Copy to Media Library' scan is for -- it helps ensure that your backup file actually contains all of the media files that are included in your LR lessons.
Since you got the "there are no media files..." message, that means your LR Media Library contains everything that's meant to be in there (based on the categories, playlists, and courses you have in LR now).
You can proceed with the actual backup process now.