Looks like a large industrial fan with a
big intake fairing, or possibly a
wind tunnel fan (take the intake fairing from either picture and lay it face down, you get the shape on the trucks).
The escort is needed because it is a wide load. They move things like this at night because there is less traffic to deal with. When I worked at Martin Marietta south of Denver, they would always transport big rocket parts late at night if they could. Nothing nefarious about it, it's just easier that way.