From GeneSetEnrichmentAnalysisWikiWhen you set the Collapse dataset to gene symbols parameter to True, you must select one or more chip annotation files using the Chip platform(s) parameter.
Setting the Collapse dataset to gene symbols parameter to True tells GSEA to collapse each probe set in the dataset to a single vector for the gene, which gets identified by its HUGO gene symbol. To do this, GSEA needs to map the probes in the dataset to their matching HUGO gene symbols. The chip annotation file(s) supply that mapping information. For more information, see DNA Chip (Array) Annotations in the GSEA User Guide.
Alternatively, you can set the Collapse dataset to gene symbols parameter to False. In this case, GSEA does not collapse your dataset and the Chip platform(s) parameter is optional. If you specify it, the analysis results report includes links to the HUGO gene symbols; otherwise, the links are omitted.