Thanks for the replies ! It's nice to see the support !

You are right, welding the rails will cause bending. What about brazing ?

Pass the next paragraph if you're not interested in my totally subjective opinion and prefer getting to the more relevant part of my post :D

Now, here is the problem I have with the fully supported rails: I have looked into that option for quite a while, but nobody at AliExpress will accept to ship 2000mm round supported rails to me... I asked already, they shipped the SFU2010 2000mm lengths without any problem, but won't take the risk of sending those rails over 1500mm. Now that's only one side of the problem... the other one is that shipping cost is just a waste of money... there is no real added value to those rails except the fact that they're round stainless steel rails mounted on stainless steel supports. Now this is just my opinion, and I know that using them would be the best option, but I just feel really bad spending $300 on shipping on a $100 rail, that's just not enough cost effective for me and not in the philosophy of this machine :(

Even if you insisted on not using the supports that the rails comes with, you can unbolt them and use the pre-drilled/tapped holes in the rail to attach your own supports...
Now that's a winner :) But, I can get those wholes drilled and tapped in a 20mm stainless steel shaft, here in Belgium, with $0 shipping cost. I could include that into my design as well ! Do you have a picture of a supported round rail where shaft and support are separated ?