Use of file paths containing whitespace characters is a well known source of problems, common to many software development tools, and Sailfish SDK is not different here.
It is not (only) the SDK installation path that is affected. Problematic are paths to project directories. Also, Sailfish SDK chooses C:\SailfishOS as the default installation path on Windows, so whether the check is done before or after selecting the installation directory does not really change anything.
The only solution I can recommend you is to fix your home directory path. Instructions on how to achieve that are easy to find on the web - as I said, this is a common problem.
Should this be really not an option to you, you can try to
Pass allowHomeDirWithSpaces=1 on the installer command line
Choose an Alternate Projects Folder that does not contain white spaces in path
Store your projects only under that alternate path and not under your home folder
I cannot give you any guarantee that this will work!