You’ll need to choose to Back Up Now or Create Backup when going to the Backup section. This will create an iTunes backup for you. That message means that you don’t .have an existing iTunes backup for that device. The reason you need to make an iTunes backup first is due to the fact that text messages and the other data in the Backup section is all stored closer to the root of iOS which is impossible to get to without Jailbreaking (hacking) iOS. The only way iExplorer gains access to that data on a non-Jailbroken device is because iTunes backs it up.
All other sections of iExplorer such as Media, Apps, Photos, Media Library, Books, and Root (with Jailbreak) are a direct connection to your device and read the data directly from it without requiring an iTunes Backup.
And just so you know, an iOS device can backup in iTunes on any computer without performing a sync and making that its primary computer. Just cancel any prompts to sync in iTunes and to prevent them, you can go into iTunes Preferences, and on the Devices tab, check the box to “Prevent iPods, iPhones, and iPads from syncing automatically”. Checking that box will prevent any auto-syncs and will help avoid dataloss due to an unwanted iTunes sync.
These articles have more information about this:
Why is my Backup data not appearing?
About iExplorer’s Backup Section
The Backup section isn’t showing my most recent data. How do I update it?