Hi Kevin,
Yes, you are correct. I wouldn't say it's "intended" behavior, but GSEA Desktop is rather sensitive to any kind of special character, particularly those that might have meaning to the operating system or in a web browser context, for example. We've corrected for this in places but it's a fairly old code base and it's somewhat difficult to track down all the cases.
Our standard advice is to stick with alphanumeric only for gene set names, file names, etc, with underscores in place of any such special characters. We'll keep working on improving this in future releases, but the above advice is safest in general. It's not a great situation, since gene set names have meaning to whoever created them and so renaming them in any way can obscure that meaning. However, *not* renaming them can lead to these kinds of access & display issues.
Thanks,