nah mate as long as they are made properly then they are legal. If a company makes them then they are safe as they will have an engineers certificate to say so. If they are made elsewhere then all you need to do is send them to an engineering firm and they will issue them with a certificate if they are okay to use.
This method is acutally quite safe as they are machine welded to quite high tolerances. Anyone ever seen how boy coddington hotrods make there wheels? or how tractor wheels are made? on the ones ive seen you can even see the welds on the outside.
but obviously dont go taking a hack saw and a hobby welder to a set of steelies lol