Code would still create an object (without setting up materials), code
for removing unused material slots would then freeze.
Now return/cancel early in case of empty selection.
This came up in T88269 [which is still not fully fixed, transforming
curve edit points clear their GP_STROKE_SELECT flag which now results in
the early exit, should be looked at separately]
Maniphest Tasks: T88269
Differential Revision: https://developer.blender.org/D11252
c3e13d5a2b