How to pop up frm-40301 when the form is empty

The message indicates, that your form is in an Enter-Query mode. This mode can be ended by using
exit_form;
built-in.

If you want to suppress that message then you can use On-Message trigger (on form level) and write there something like this:
if message_code = 40301 then
  null;
end if;

I created on-message trigger and put it in either form level or block level or both, still doesn't work. When I query  an ID with empty form, still show
"Enter a query; please Ctrl+F11 to execute, F4 to Cancel"

My on-message trigger, just one line

exit_form;

On-Message trigger ought to be like this:
if message_code = 40301 then
  null; -- this suppress the message: "frm-40301:query caused no record to be retrieved. Re-enter"
end if;

But this message:
"Enter a query; please Ctrl+F11 to execute, F4 to Cancel"
seems to be your message when invoking enter-query mode.

I tried it, still doesn't work
I add on-message to either form level or block level (for the form) or both, when I enter query mode (query->enter, then query->run), it still have the same message "Enter a query; please Ctrl+F11 to execute, F4 to Cancel", never change to "frm-40301:query caused no record to be retrieved. Re-enter" when queried an empty form.

In my on-message trigger, I have following

if message_code = 40301 then
  null;
end if;