Unless everything is completely in line and mountings are square to the face then you could introduce binding or radial loads on the stepper.
Thermal conduction will not be a problem on a well designed system but interference will be.

You would be better off inserting a short stub into the end of the ball crew and use an Oldham coupling to join the screw to the motor. An Oldham coupling is the only coupling that can accept errors in two planes without imposing a radial force.