EMSA gels are typically native gels (as opposed to SDS-PAGE) and the pre-running removes excessive ammonia and persulfate ions which can disturb the integrity of labile complexes build protein-DNA or protein-DNA-antibody. It also removes unpolymerized acrylic acid from unpure acrylamide preparations.
This is obviously not necessary in a denaturating gel, but you could do it as well, since it will not cause harm. I think it is usually not done because it costs time.