Does quick release shaft works also as an extra protection/strength ? And if I don't have it, can the hollow axle break more easily ?
I bought the wrong one on the web, in the picture I didn't saw that it was hollow.
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The skewer is not a load-bearing component of the hub axle. It serves only to tightly clamp the dropouts around the sides of the hub. If you have an alternate method of doing so (e.g., threaded nuts), you don't need the QR skewers.
I'm concerned that an axle designed for QR skewers probably isn't also capable of having a nut tightly threaded on both ends, so in practice this probably isn't possible. If threads extend out past the dropouts for nuts to be installed, I don't see how the ends of a QR skewer could press against the dropouts, without a specially-designed skewer. But if you can clamp your hub to the dropouts, whether or not the axle is hollow shouldn't matter.
A properly installed QR compresses the axle and keeps it under compression while riding. QR Axles are relatively brittle and prone to breakage if the QR is not done up tightly, without a QR, this would be a likely outcome.
Additionally the compression caused by the QR will tighten bearings. If you install a QR Axle using nuts, you would need to ensure the bearings were set-up correctly