ExternalData: Allow local stores without any URL templates

Allow ExternalData_URL_TEMPLATES to be empty if a value for
ExternalData_OBJECT_STORES is provided.  Assume in this use case that
the object stores will already contain all needed objects.  Extend the
Module.ExternalData test to cover this case (all objects in stores).
Extend the RunCMake.ExternalData test to cover the non-failure message
case when stores are provided without URL templates.
Merge topic 'ExternalData-allow-no-urls' into next

8eb20ee ExternalData: Allow local stores without any URL templates