Hi,
By DEGs, I assume you mean Differentially Expressed Genes. While it is possible it is not recommended. In general, you are correct that GSEA is best run on all expression data without filtering.
During the analysis, genes that are poorly expressed or that have low variance across the dataset populate the middle of the ranked gene list and the use of a weighted statistic ensures that they do not contribute to a positive enrichment score. By removing such genes from your dataset, you may actually reduce the power of the statistic. Processing time is rarely a factor; GSEA can easily analyze 22,000 genes with even modest processing power.
We have lately softened this stance slightly in our
advice for RNA-Seq Data, in that it may be beneficial to filter out low count measurements. While GSEA can still process unfiltered RNA-Seq data, it may lead to a more "choppy" scoring due to a large number of ties across the middle of the ranking. Aside from this, however, is best to work with otherwise unfiltered data.
I hope this helps.
Regards,
David