PeopleHR queries return data from user profiles. If a performance review hasn't been opened, there's no data, so the query returns no results.
If this performance review has a completion date, then the review will show in the Performance Tab.
To see which employees haven't started a review, you can follow these steps:
From the dashboard, click the Performance tab.
Click the graph icon
, then from the drop-down select the relevant review.
From the filters dropdown, select Not Started.
For the performance review selected, it will then show all the employees who have not yet started the review.