It is ok if the program says you do not have taxable federal income. It only means that your total income less the deductions you have.* (everyone gets a standard deduction of $12,000) is less then the taxable amount.
Since you had federal taxes withheld from your pay you need to file your tax return to have that amount refunded to you. Keep going and go through the steps to file your tax return and transmit it to the IRS.
Disclaimer: Not a tax professional. Information gathered from internet links. Anything dated in June 2019 was posted in prior years and is before the 2019 limits and changes.