Hi Arko,
The plot with red and blue squares is a row normalized heatmap of the expression from your dataset of the genes in the gene set.
GSEA's calculations are not intended to determine individual significant genes, single gene changes are better calculated with a specialized tool such as DESeq2 (in fact, standard normalization pipelines intended to get RNA-seq data into GSEA suitable forms commonly involve extracting the normalized counts matrix from tools like DESeq2 in parallel with computing standard differential expression). GSEA's intent is to determine if groups of genes are collectively differentially expressed based on their overall distributions within the full expression data.
Have you read through the user guide section on interpreting GSEA results?
The section here:
https://docs.gsea-msigdb.org/#GSEA/GSEA_User_Guide/#interpreting-gsea-results describes the mountain plots and some of the other important plots with annotated diagrams.
Let me know if you have any other questions after reviewing this