The "Source SDK" in the tools section of Hammer is not needed nor usable for TF2, if you have no other need of it, you can remove it if you like. However, it also won't cause any problems if left there.
If you have no entities, it sounds like your FGD is missing and/or not used. There should be a tf.fgd in the bin folder. If it isn't, try verifying TF2 to get it reacquired. When you go to Tools>Options in Hammer, on the Game Configurations tab that FGD should be listed in the box for "Game data files", if it isn't, and it exists in your bin, you can hit the button to add it.