Circles are not filled when there is no data, as I think you have already withdrawn. But it can be made to manipulate the object of the legend.
Full example:
import pandas as pd
import seaborn as sns
df_sub_panel = pd.DataFrame([
{'month':'jan', 'vae_factor':50, 'ad_name':'China', 'crop':False},
{'month':'feb', 'vae_factor':60, 'ad_name':'China', 'crop':False},
{'month':'feb', 'vae_factor':None, 'ad_name':'Mexico', 'crop':False},
])
sns.color_palette("Set2", 10)
g = sns.factorplot(x='month', y='vae_factor', hue='ad_name', col='crop', data=df_sub_panel,
col_wrap=3, size=5, lw=0.5, ci=None, capsize=.2, palette=sns.color_palette("Set2", 10),
sharex=False, aspect=.9, legend_out=False)
for handle in g.axes[0].get_legend_handles_labels()[0]:
if not handle.get_facecolors().any():
handle.set_facecolor(handle.get_edgecolors())
legend = g.axes[0].legend(fancybox=None)
sns.plt.show()
The important part is handling the objects handleat legendthe end (in the for loop).
:

( for):

: , !