Full code including the message:
Selection.AutoFilter Field:=1, Criteria1:="Review"
If ActiveSheet.AutoFilter.Range.Columns(1).SpecialCells(xlCellTypeVisible).Count - 1 <> 0 Then
ActiveWindow.SelectedSheets.PrintOut Copies:=1, Collate:=True
Else
MsgBox "Nothing to report, print job cancelled!"
End If
Selection.AutoFilter Field:=1