using google advanced search with the online manual as site , i found a mention of it in an old a7 version :

PRAGMA_BIND and PRAGMA_LEVEL now support file names with spaces; still, it is absolutely not
recommended to have file names with spaces or foreign characters in your game.

do not know if it changed ..

oh wait ...here we go

Gamestudio and lite-C support numerous file formats for importing and exporting artwork and data. !! Keep
file names short - the names of entity and texture files (including extension) in WMP and WMB levels are
limited to 30 characters , and texture and skin names in WAD and MDL models files are limited to 15
characters . File names must not contain any special characters except " _ " or " +". Never, ever, use spaces
in your file or path names! Many import filters from other editors will not find texture files when they have
spaces or exotic characters in their name.

http://manual.3dgamestudio.net/fileformats.htm