Error message: "You need to have at least one item in this list."
Additionally, you can communicate this (im)possibility leveraging on the the Delete button.
Grey out the Delete button (that automatically sends the signal)
If they still attempt to click on it, you can then show the message.
Since the message box already explains the error, the Try later can be embedded within that message.
I'm not sure what all the possibilities of errors where you would need to use that message box are, but "Okay", "Got it" or "Close" will cover all use cases where you need to show a secondary action button after an error message description.
For instance, ...
A - This is the preferred option. That said, the content has to be crystal clear, both before and after the selections are made as this ensures that the user is informed and doesn't leave the process thinking that they were successful in getting everything they selected.
The user first needs to be informed that there is no guarantee that every selection ...