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Using a spacer between the rims and threaded rod through the wheel weight holes will not prevent relative motion between the wheels, bending the all-thread, and egging out the square holes in the wheel center. Those holes are meant for wheel weight mounting by way of carriage bolts, not for putting torque to the ground through an additional set of wheels.
Years ago when Aaron from Xtrememotorworks originally introduced those dual wheel adapters with the square tubing, I think he said the square tubing was used because the weld bead on a similar-sized round tube was insufficient; that should give you an idea of the potential loads encountered here.
What you are missing is that attaching wheel weights and letting them ride around is not the same as bolting another wheel on. With a wheel weight, the bolts just have to hold the weight in place, and the bolts are loaded primarily in tension; with a wheel connected to them, there is tension in the bolts and a far more significant bearing force on the holes in the wheel center, compounded by the fact that the threads are bearing on a square hole, so there is minimal contact area to spread out the load, so it'll quickly mess up the holes. I have even heard of people wrecking the holes in the rims from using all-thread instead of carriage bolts just to hold on wheel weights. Not to mention there isn't a very rigid connection between the wheels, so the outer one will slip, tilt the bolts, etc. My point is there are far better ways to attach the second wheel.
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