Is it bad to heat empty pans?
It's a question of degree.  Something bubbling in there will dissipate heat, keeping the pan below a temperature at which metals start to deform.  A well-designed pan matched to an appropriate heat source (diameter, consistency) will put up with a great deal more heat than it takes to sear broccoli, but it's difficult to put a mark on where its limit lies that's clear to any user.  Somewhere well below that limit is the difference between an empty and a not-empty pan, the observance of which makes Henckels and hungry people happy.  Henckels may have tested their pans diligently and from their research could tell you that the real danger zone starts at x degrees, but their market isn't only cooks who also happen to have an infrared thermometer and don't mind tidying it away each time they reach for the oil.  So they keep it simple, while also applying the precautionary principle.  Stuff will usually do more than its vendors promise.
But this is also a question of time.  Stuff will do amazing things...  Until it breaks.  A pan may perform flawlessly over very high heat for five years, or ten years, and one day suddenly go 'ping' and crack like an oyster.  Its identical twin, used following every rule and guideline ever suggested for it, may remain intact until its bottom is worn away by wooden spoons.  It depends on your reasons for cooking in the way that you do, and how much you enjoy it.  It depends on how many spare pans you have, or whether you could easily replace a loss.  For most pans in the world, the answer to your question would be a definite 'yes'.  For your particular pans, at the degree to which you heat them, apparently the answer is a happy 'no'.