I'm pretty sure that this doesn't exist already (apologies if it does).
It would be nice to have a customizable message as part of the rich:suggestionBox so that it displays a message in the drop down when it can't find a matching value. Possibly an attribute called something like "notFoundMessage"? This could be set to a localized phrase from the message bundle. This value wouldn't be selectable and wouldn't populate the associated inputText.
Can anyone else see the value in this? If so, I'll raise a JIRA?