In Unix one can use most any character in a file name. I made a few which included the 'BELL' character and the 'Backspace' which made things fun for people using ls.
I suspect that the space is used in Creo (nee Pro/Engineer) as a demarcation to tell when the end of some item in a string has been reached and that an argument or other modifier is being used. For certain it makes other processing more complicated and the fact that other systems allow it doesn't change that.
For example, there's an engineering forum that allows uploading files with "&" in the name but those files cannot be downloaded. Eliminating as many special and whitespace characters (space, tab, CR, LF) from names makes life easier all around. The use of the 'underscore' character makes the string more easily managed and offers the same benefit of adding a visible gap and is, I believe, universally accepted.
Ref: https://unix.stackexchange.com/questions/155793/is-it-correct-to-use-certain-special-characters-when-naming-filenames-in-linux
