Underrealm Lich’s first ability applies even if you have fewer than three cards in your library. If you have no cards in your library, you can’t lose the game for trying to draw a card from an empty library.
Quote from Shale WarBringer »I have an Underrealm Lich in play. During my draw step, I want to dredge a Stinkweed Imp. Do I get to choose which replacement effect is applied to my draw, since I control both permanents?