I confirm the same in Linux. I pretty sure the completion is done by Julia. So it looks like a bug.
shell> touch "a b"
julia> include("a\ b")
In this case I have to type a\ [TAB]
Backslash-space is an invalid escape sequence.
julia> "a\ b"
ERROR: syntax: invalid escape sequence
EDIT: It’s easier to find what’s wrong if you provide something close to a MWE. For instance, I used a short file name with one space. And the file has length zero. I neglected to include this:
julia> include("a b")