The only issue with welding them up is how you do it;
Trim off the flattened tubing where it bolts together and you're going to lose the dimensions and will need to weld in some riser posts to make up the difference.
Just weld them up at the flattened sections and IMO you create an attachment point that's about as strong as the bolts, it just won't loosen up.
Bear in mind that most of these "cages" are not properly designed to withstand much of a roll over without collapsing.
Personally i think it's well worth it to cut the tubes and install oversize posts to gain your length back (get some tubing with an ID the same as the OD of the cage.) Follow that up with some additional tubing to correctly (as near as possible) triangulate the cage.
Cons--more work ...
Pros ... Stronger, safer buggy and it'll likely be stiffer to boot.
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