First of all thank you for your answer. I've already read that article and I really liked it. It's very informative and is the article that gave me to understand that there is not only the way of finding DEGs and then run classifier on them but you can just use the whole dataset. The difference now is that in that paper they had a lot of samples (hundreds of them) while i have only 22 of them and elastic net is not gonna work on that small dataset.
But let me answer your questions now:
1) I thought that I've mentioned it but I was wrong ( I just added in the tags). My datasets are from microarrays.
2) All datasets are from Affimetrix and only one is from illuminas' platform. As for the cell lines (good question by the way) while for example in one dataset there might be 3 control samples, 2 samples for treatment1 on cell line A and 2 samples for treatment1 on cell line B, I thought not to take in mind the cell lines (Just use as class the treatment), and see if in the end the classifier will classify the different cell lines together due to the same treatment but actually in a PCA they are going to be shown as two different clusters (don't know if I explained it well). As i said in my initial post, only the control samples are the same for the three datasets. What I mean is that all controls (at all three datasets) are diseased cells (they have the same disease). But each dataset use a different drug for this disease and thus I said, that if I merge those three into one dataset , is going to be unbalanced.
3) The initial concept is to build a multilabeld classifier that will be able to classify the different treatments. The first thought was to find all the DEGs (after doing what you describe to your number 4) and use them as my initial pool. Later I could use these DEGs to find possible side effects, or common targets between them etc. But then by reading articles like the one you posted (that they don't calculate the DEGs), plus the fact that the merged dataset will be so unbalanced, I came here and asked this question to take some ideas and see what people do/suggest.
Thank you again for your instant answer. I hope to answered to some of your questions.