Hi Roei,
Could you please send a screenshot of your Run GSEA tab particularly showing the gene set files name and any chip file you used on your runs?
This is normally just a warning, but if you've picked a chip from a different version of MSigDB than the gene sets its probably something we should try to fix.
You might also try downloading the file you want to use from the website and loading it in manually that should generally bypass this, but we should definitely still try to figure out what is causing it.
-Anthony
Anthony S. Castanza, PhD
Curator, Molecular Signatures Database
Mesirov Lab, Department of Medicine
University of California, San Diego