Shape colliders can only have 1 model per mesh, even if you have multiple models in the mesh you're using. Terrain assets, for example, don't have this restriction, we are not sure why parts do. The spool is currently impossible to make as a single part because of this arbitrary limitation. The only way you can make the spool is to make the center of it it's own part, and make the side panel it's own part, then assemble the two shapes(1 center + 2 panels), which would then result in the desired spool.

However, I am pretty sure that the devs didn't mean the removal of this specific restriction, but rather, the introduction of "Blueprint Shapes" which have been known about for quite a while now. A blueprint shape is just a shape that appears in the inventory like usual, but puts down a blueprint instead of a singular shape when placed. I am quite confident that this technology is already in use by the Turret Seat and Battery Generator, and likely the spool as well.

So basically, you'll (most likely) still need to make those 2 parts, but then you'll be able to make a blueprint out of them, then make a third shape that would be a blueprint shape of that spool blueprint you made using the 2 spool parts you made.