I think I found a solution for this for anyone who is looking for it.
The "No such data" occured for me in following instances:
- Changing options that are not on or off by default
- Using "ko" database with species identifiers
- Using species databases (e.g. ath) with KO identifiers
There may be probably other instances that it will occur. And who ever finds answers will hopefully will report them here. By the way, KEGG group has an excellent help desk (email@example.com). You can shoot away your questions and they will try their best to help you in no time.