A Sandbox refresh is copying a snapshot of your production instance over to your Sandbox instance so the data is fresh. Often done when you want to test something, usually with the most up to date data.
On a NS refresh, the login audit information and system notes present in Production are removed so when your Sandbox is first updated, it will not have any of that data for any record (or most records anyway).
However, once you start logging in to Sandbox and/or changing records, the System Notes will start to regenerate.
A way to test if this is the issue in your instance would be to go into the UI in Sandbox and change the name of a customer or vendor or something. That will generate system notes entries. If your query is still blank, then it's some other issue.