Absolutely! You can change any phrase shown.
Go to ACP->Languages & Phrases->Search in Phrases
In the 'Search for Text' box put advapp
Tick the 'Phrase Variable Name Only' selection
Click the 'Find' button.
In this case, you want to edit the 'advapp_sorry' phrase.
EDIT: But unregistered members shouldn't be able to see the application form widget with the application types in it. Just be sure that usergroup 1 is in ACP->Settings->Options->Application Form Settings-- Banned Usergroup Settings
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