I have created a new Feature Request for creating a NoDataTemplate. You can Follow the implementation from this link: https://feedback.telerik.com/blazor/1457874-zero-records-message-nodatatemplate and i have given a Vote on your behalf.
As a workaround, in the meantime, I would suggest you use if / else statement where you render the grid only if there is information to be displayed like shown in the code snippet below:
@if(MyGridData == null)
//Loading animation or any custom component (e.g. CreateNewItem)
You can also see these Feature Requests on our Feedback Portal. They are not directly connected to what you have encountered, but will further enrich the functionality you described:
I have given your Vote for both of them, as well, and you can Follow the status updates on their implementation.
UI for Blazor