As far as I know plasma provides a set of native file menus to other applications. I find filenames with spaces (and other escapable characters) in them very irritating. It would be a nice feature for "saveas" menus to offer a "remove / substitute spaces" option. I can't be the only one that mainly works in shells but has to receive files from other people from a variety of sources that are a pain in the arse to deal with from the command line because of the antisocial use of escapable characters. Like everyone else I've got scripts to remove this chaff from my files but it occurs to me that it would be nicer for the saveas menus and dialogues to offer this service. If this gets adopted I intend to extend it to inconsistent use of camelHump in code!
I can understand the frustration here, and it's an interesting idea, but I'm not sure if this is something that would really resolve the issue for you. Even if we implemented an option in the KDE save dialogs to swap out spaces for underscores or something, loads of apps don't use the KDE save dialog, and there are also many ways to get files from other people that bypass any save dialog, including some of the most common ones such as web browsers and desktop email clients. So it's very likely that most of the offending files you receive from others would not go through the feature. As such, I don't think we'll be able to consider this feature request, sorry.
Shame, even if it was just KDE apps it would be a very handy addition, then I can work on getting the rest changed...