This might warrant an ERROR-level message. At least IMO it seems pretty serious if the user encounters it. Also, you should use string interpolation which existis in scala 2.10. Finally, it might be good to use more precise wording:

s"File $file has no data in it. Spark Streaming can only ingest files created atomically via 'move' operations. See the streaming programming guide for more details."

It won't be well understood what "move-based method" means and with this message they can get the main point even if they don't go read the guide.