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Thanks for the response - I'm struggling slight to understand the process here. I can find lots of reference to using threaded rods on the internet, but very little to detail what they are actually being threaded onto. My suggestion was some sort of sleeve insert to fit inside a hole in the wall (maybe via a rawlplug) into which the rod could thread. But maybe people are just using threaded rods because they're more readily available and this is all a big of a red herring? Epoxying a load of rods into the wall and ensuring the angles correct to then receive the various holes and slots of the alcove shelves sounds like it may be slightly beyond me.
Ones we got made in our last flat were solid wood and just used the slots on the sides over some lengths of rod that were epoxied/stuck into the walls using something hardcore. Not sure if it was actual epoxy or some kind of construction adhesive. I'd say for non solid wood, some along the back would be a good idea. Not rawl plugs though as those threads would not bite in the same way that screws would. Also, screws are tapered which causes the plugs to expand the way they need to work.