"Convert spaces to", so user can set it ot _ - . %20 or space itself, if he knows that his browser/client combination handle space or %20 well or if he preferes other character instead of _.
Indeed, that's no bug, but rather a missing feature. Btw, there were at least three feature-requests for more flexible ed2k-links, already. One is here, one is here and another one is here (can't find my thread anymore ^^;).
Another option is to use AniDB-O-Matic, not only can it rename existing files according to a template, if you use AOM to get your ed2k links they also match the template.
[changed "AniDB" to "AniDB-O-Matic" ^^; -- wahaha]
Better to to it on DB, as client side script will not distinguish _s from original name and _s inserted instead of space. This won't affect lots of entries (only "Niea_7" comes to mind right now), though...