Welcome.
You won't get errors unless an error happens. If
sed successfully does what you told it to do then it will not say anything.
Before you try affecting the files in-place, it is good to make a backup with
tar or something.
Code:
tar zcf txt.backup.tar.gz *txt
Then you can try your hand at
sed. You would use the pattern /^$/ to find any lines that are completely empty and the command 'd' to delete those found.
Code:
sed -e '/^$/d' *txt
The caret ^ stands for the start of the line and the dollar sign $ stands for the end of the line. If the line might have white space on it, then you could modify the pattern using the character class for white space /^[[:space:]*$/d
If that works then you can add the -i to modify the files in-place, if you have GNU Sed.