Hello,
MSigDB itself is not specifically filtered to include only protein coding genes, however, the ncRNA component is generally quite small across most sets.
The largest impact will actually be in the gene distribution that GSEA uses to compute rankings, where filtering these genes out will change the underlying differential expression distribution.
I can't speak specifically to how much the impact will be, it is extremely variable from dataset to dataset. That said, it is not inherently incorrect to do so if you are interested in just the protein coding components.
Let me know if you have any other questions,
-Anthony
Anthony S. Castanza, PhD
Curator, Molecular Signatures Database
Mesirov Lab, Department of Medicine
University of California, San Diego