Do not parse empty embedding sources

What does this MR do and why?

Part of #428297 (closed)

We assumed that all messages return the sources of the embeddings. However, we can't assume this as we don't know what the LLM returns.

See Sentry errors for this error: https://new-sentry.gitlab.net/organizations/gitlab/issues/284388/events/2f8ce8eb6b6c4aa599236aceb4e7308f/?project=3

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