I find that a blog's URL or pathname should not contain blanks (spaces). I think the installer should warn if it sees spaces in the name, and the Fresh Installation docs should mention the issue in the Uploading Serendipity section:
"or into any subdirectory you like. The subdirectory path should not contain blanks (spaces)."
S9y /almost/ works when the blog name contains a space, but the .htaccess file doesn't quote the blog path, and some detection didn't work so there are (illegal) PHP settings added, and logging in doesn't stick. This is enough problems to warrant not using blanks, rather than trying to find and fix all the problems.
It is fine for the Blog Name to contain spaces.