Oil filter

I wouldn't panic as long as it was wet and dirty. The oil drains out on some engines. Most filters have check valves to prevent that from happening so you don't have to wait for oil to reach the engines bearings when you start the engine, but some filters rely on the oil pump to keep oil in the passages. You might notice a little knocking at startup for a couple of seconds. If that is irritating or if it concerns you, try switching to a different brand of filter.

What if the filter is completely dry?

!!! That can't be good. If it looks clean inside just like a new one, that suggests oil was bypassing it. There are only two possibilities I can think of. One would be a protective cover that didn't get removed when it was installed, and that isn't as silly as it sounds. Some filters come with a cellophane sheet over the threaded end but I would suspect that would have been seen when the filter was removed.

All filters have a bypass valve to let oil pass around it to prevent oil starvation if the filter becomes plugged. Some engines also have a bypass valve built into the oil filter housing. If that valve sticks open oil would not go through the filter but I find it hard to believe the filter would remain dry for thousands of miles.

That's pretty much unheard of. I'm not even sure it's possible. Are you sure you have the oil filter and not some other filter?