There is no general rule saying that smart objects need to have the same color profile as the master document. It all depends on what you are trying to achieve.
A smart object with a different color profile than the master document will automatically be converted as if it was merged and converted to the color profile of the master document. And everything you do with the smart objects (blend modes, filters, opacity etc.) will happen in the color mode of the master document.
So two CMYK images as separate smart objects within an RGB document will look different when layered with blend modes than they would in a CMYK document.
I sometimes deliberately have different color profiles on my master document and the smart objects within it. For example if I convert an RGB image to grayscale or CMYK it can be nice to have the original RGB color image in a smart object within a grayscale or CMYK document. That way I can go back to edit the colors of the RGB image to affect how it's converted, and also add adjustments to the resulting image.
There are some things in your question that puzzle me:
What do you mean by "spot illustrations" and "CMYK spot"? Have you made your illustrations with spot channels? Pantone colors or defined as CMYK? As far as I know, spot channels does not work with smart objects at all. You can't create a new smart object containing spot channels, you can't embed or link an image with spot channels and keep the colors. So you perhaps mean something else when you say "spot"?
Since you've created your linked files in CMYK, you must have had some plans for the image to be printed? Be aware that converting CMYK to RGB and then back to CMYK for print will alter the CMYK numbers you have chosen. In many cases it doesn't matter, but for the special case of pure black and tints of black it might be a problem that the conversion will add color in all four inks. If the image is just for screen, you can ignore this problem.
It sounds like you are going to send the client the layered master document with linked images? In that case you have to also send the linked images and it can all become a little complicated. Normally I would say that a client should just receive a merged or flattened copy of the document. It's probably more user friendly for them and unless you have agreed to giving them your working files and allowed them to make changes if they need to, it's not really something they are entitled to. Also eats a lot of your time tidying up the documents for others to use.