We figured out this issue. If the git URL used for the pipeline jenkinsFile and the checkout command in the jenkinsFile are exactly the same then we get the warning:
Pipeline] echo
Warning, empty changelog. Have you run checkout?
By simply adding username@ to the url which matches the user name specified in the credentialsId in one of the checkouts the warning goes away and we see changes.
This seems like a bug to me? Where should it be reported?