For whatever it's worth, I've never heard of this. Just checked and while it's not the most common thing in the world, plenty of my mods and package based CC from all different kinds of developers do have spaces in their names and I've never detected a problem. So do my InstalledWorlds files, including those from EA. What I do recall quite a while ago is being warned against spaces in save names, so since that is so easy to fix I've stopped using those and long since renamed any saves I might ever want to load up.
The compressed files we tend to download (the zips, rars, 7zs) wouldn't have spaces in them because files in webspace can't handle those, but the files inside can of course go either way.