I have no idea how the game selects which dead world to send them to, in some cases I've seen they can be quite far away.
In the ShipMissionDefs.xml, a minimum and maximum range are assigned.
I've built this a couple times and there has been no messages, no new ships launched and nothing reported found.
What size galaxy was this on? I had this happen on the smaller galaxies during beta--I think sometimes the minimum was too large to find a dead planet. But I believe this was corrected, so this may not be related.