Just a hunch on my part - I have no involvement in Google: It's to emphasize the simplicity of the interface.
Google's homepage was designed to be super simple. At the time that was a bold move because search homepages were like walking into a mall at Christmas: users were bombarded by tons of attention-grabbers immediately.
So given that the simplicity of Google's home page was intended as an aspect of branding, anything that reinforced this simplicity was desirable.
The lack of feedback like "Please enter something first" is a way of saying "this interface is so simple it doesn't need instructions".
Even in the extreme edge case where someone spends a year of their life pondering the mysteries of that form and why it's not working for them, the difficulty they experience just serves to increase the perceived value of the functionality when they finally do figure it out.