Aha! This works for me too. After renaming them to just "M01, M02, etc." and updating the lessons.lua they show in the Training mission section.
Did some experimenting and it seems it is the spaces aren't the issue at all: the dash between "Training – M01" is an en dash on the filename, but not in the lessons.lua! Changing this to be a hyphen in the filename means everything works as expected (spaces and all).