If standard Poynting expressions for EM energy are adopted, then vanishing fields $\mathbf E,\mathbf B$ in vacuum indeed imply zero EM energy density there. So in this context, PhysicsDave is wrong.
Although PhysicsDave did not explain what he means, his statement could be true if non-standard expressions for EM energy density and EM energy flux vector (other than the Poynting expressions) were adopted (which is entirely consistent with EM theory).
Density of EM energy $\rho$ and vector of EM energy flow $\mathbf S$ are ambiguous, because they are defined based on the desired equation form
$$
\partial_t \rho + \nabla \cdot \mathbf S = -\mathbf j\cdot \mathbf E
$$
which does not fix exact expressions for $\rho, \mathbf S$.
One possible set is the Poynting set, but given any pair of functions $\rho, \mathbf S$ which obey the above condition, we can define another pair via
$$
\rho' = \rho - \nabla \cdot \mathbf u
$$
$$
\mathbf S' = \mathbf S + \partial_t \mathbf u
$$
where $\mathbf u$ is any vector field differentiable in both space and time coordinates. With a convenient choice of $\mathbf u$, and using Poynting's expressions for $\rho,\mathbf S$, we can get non-zero $\rho'$ even in places where $\mathbf E = \mathbf B = \mathbf 0$.