To expand a bit on Steve's comment:
Running the pump dry for an extended period of time *can* damage the seals. The only way to tell for sure is purge the system and then run it. If you're paranoid, you can do a "leak-down" test (blank off the outlet line from the pump, set a reasonable high pressure cutoff, run the pump until it cuts off, then monitor the pressure; if the pressure drops more than about 15% over 15 minutes, the seals should probably be replaced).
The column is probably OK and should work after you purge the air out. As Steve indicated, *most* pumps are not able to pump air. That said, years ago I had an Altex 110 which *could* pump air and yes, my column was ruined
