Definitely, spaces ARE allowed in library names.
So now I think the error relies in the library name itself, no matter the name.
Please, select My Connectors as the working library
Try Footprint Name in Library : Molex_17310_Vert_3Pin without the library name!!
If the library name is appended by default, delete it.
Please, give us feedback. If what I say is correct, you have found a bug.