At the moment, Empty values are treated as Zero by the states. I submitted a feature request to change this behavior and will let you know when that happens. Until then, however, you can work around this by adding a formula measure and setting up the states based on that measure. For example, use the following script for the formula measure:
if($value$ == 0)
{
return 0
}
else if($value$ >=0)
{
return 1;
}
else
{
return -1;
}

Next, set up states to distinguish the negative value corresponding to missing data and select the property Apply state styles to entire row.

Now you can style and hide the formula measure to get the result you were looking for.
