Is it recommended to use preprocessing? What is the advantage? Is it optimal to use the Alias tab in one of the empty channels for some preprocessing?

Possible advantages of preprocessing, example:
Starting from an analog low-pass at 70 Hz, via initial sampling at 256 Hz and preprocessing Moving Average at 64 Hz, you can store at 128 Hz and thereby have the size of the file dimished. This was more important some 5 - 10 years ago with smaller flashcards.

Indeed, you could use Alias channel to assess the effects of some preprocessing. This is most important when using the wideband 8CHUNI module amplifiers.
Unless for instance you want to measure many channels of high-frequent EMG at 2048 Hz and analog low-pass at 1024 Hz (with Uni 8 module); then you could develop a nice preprocessing that computes the envelope and store at much lower frequencies.