Starting with the release of Strategy ONE (March 2024), dossiers are also known as dashboards.
SYMPTOM:
HTML tag used inside "Display message in document grids" option is not rendered as expected after the document is exported to PDF.
Setting on Developer:

Export to PDF, the HTML tag is lost.

CAUSE:
HTML tags in the Project Configuration > Project Configuration > Report Definition > Advanced > Display message in document grid is supported to be rendered only in Web. Once it is exported to PDF, it appears as plain text.
ACTION:
Starting from Strategy 10.3, export html tags to PDF is available when HTML Container or text box is used. Refer to KB286713 for steps to configure. However, the new feature does not support HTML tag used in Project Configuration as discussed in this article. Therefore, consider using alternative approach for "No data return" message to be shown in Report Services document, Visual Insight, or Dossier.