It's actually easier to clean up the ends of Acme rod after cutting (than all-thread) because the thread profile is more open, especially after an edge chamfer like said above. Nothing a decent hand fine or two can't handle. Acme chucks up in a lathe very nicely too (especially with a collet), because the thread profile is so square. Most of the common stuff is 1018, 4140, or 304 stainless, all of which cut perfectly easily.
Race teams (NASCAR, etc) cut and weld Acme all the time to make adjustable height pivots for the chassis end of the Panhard and a few other things. Years ago when I was doing automation we used to cut it all the time to make gearhead linear actuators too.