A major issue will arise the very first time you FTP any of your files with space in its name – it simply won’t work unless you’re using third party’s library that somehow converts all spaces to something and then converts it back... And after developing and/or supporting FTP related apps for dozen or so years I can tell it's no bogus concern – extremly bad idea.

btw, it's not only file names but folder names as well - entire path shall not have any spaces.