That is what happens when I create reports with On-Demand. It appears to replace any spaces with + signs. I am dynamically adding a group number and name in my reports and it puts the + sign between the fields in the file name.
I never questioned it and ran with it.
On another note, I tried going to the dynamic naming setup in the Client and it does not let you use + as a separator. So, it seems that + must be hard coded for On-Demand.
Hope that gives you a little peace of mind