You will have been asked about this at some point. That dialogue comes with a 'don't ask again' check box that you may have checked in the past.
This leaves you two options...
1. Preferred and supported: Open MC's options and type reset in the search field. Hit the result that goes "Reset all confirmation messages". It will do exactly as expected.
2. Absolutely not supported, but possibly preferred by you: Reset just the empty folder confirmation....
Completely close MC.
Open regedit, browse to "HKEY_CURRENT_USER\Software\JRiver\Media Center 18\Properties\Confirm"
Find "Remove empty folders" in the pane on the right, double click, change the one to a zero and ok your way out.
Go back to MC and you should now find it asks you about removing empty folders each time.
Personally, I prefer it not to ask, and use a zero byte txt file called zzz to keep it at the bottom of the file list, with the 'hidden' attribute set to keep MC from removing the few import folders I use when it empties them.
-marko