This was by design. I'm sorry if it caused headaches for you. Web best practices don't allow spaces in filenames. In fact, you may not be aware of it, but some of your listeners may not be able to get your files because of the spaces. We did put in a check to remove spaces and other bad web characters and replace them with underscores.
There is a paramter in the administration tab of com_biblestudy (starting with RC3 of version 6.1) that allows you to turn off this checking ability. It is "on" by default.