Fundamentally, it's not very good for the pump, it's a pain in the backside to bleed the fuel system if you get air all through it, and if you run it that low you increase the chances of getting crap in the fuel system, which is bad in a common rail diesel. Best to avoid running out if at all possible.
As EpOcH said, the DTE just flashes below 50km because it's not a totally exact science and they don't want irate customers complaining that they ran out while the car says they have a few ks to go. They also don't really want you to use every last drop in the tank, as noted above.