According to this page,
you can lookup Spaces created by accounts followed by a specific user. Given a single user ID, a dedicated endpoint will traverse the user’s followings and return live or upcoming Spaces created by any of these users.
I would like to check periodically for Spaces scheduled by any of the ~10k accounts I follow, but I can't find the "dedicated endpoint."
Unfortunately this is an error in the Twitter developer documentation - this functionality does not exist in the API. You'd need to build this via a much more manual process of calling the lookup endpoint by creator ID - the endpoint can support up to 100 user IDs at a time, so that will take some time to cover your larger number of accounts followed.
(side note, I've asked for the documentation to be updated to correct this confusing statement)