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When you set the Collapse dataset to gene symbols parameter to True, you must select a chip for 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 get identified by its HUGO gene symbol. To do this, GSEA needs to map the probes in the dataset to their matching HUGO gene symbols. You supply that mapping information by clicking the ... button next to the Chip platform(s) parameter and selecting the chip used to generate your dataset. If you do not see the chip that you need, see for more information about downloading or creating additional chip annotation files.
Alternatively, you can set the Collapse dataset to gene symbols parameter to False. In this case, the Chip platform(s) parameter is optional. If specified, the analysis results report includes links to the HUGO gene symbols; otherwise, the links are omitted.