You have two problems there, Julian. The first is that the spoke is a hollow sheet object. This is not at all obvious, but I found the problem by slicing the object and rendering one of the pieces. Fortunately it is easily cured, by selecting the object and applying Create Solid>From Surface (in the Modify menu in my installation).
Second problem is that the spoke projects a little below the bottom of the hub (see the first attachment, below). This also is easily fixed, by slicing it in the plane of the hub bottom. After deleting the errant fragment, I was able to add the spoke to the hub and fillet the junction with no problem.