There ought to be a space between : and the $.
Anyways, what it does it checks for the existence of a variable called dummy_msg. If it does not exist (not defined) or is empty, it will set the value of the same as 'Nothing started'.
You can, but it will complain something like command not found.
Because bash will first check for value of dummy_msg. If empty/unset, set the default value given, and try to execute a command with that name.