Here are the dashes:
– en-dash
— em-dash
While the Autoformat As You Type gives you an option to automatically change a double dash -- to a "dash", that's an en-dash (–), not an em-dash (—).
BUT, here's a SOLUTION!
In Autocorrect, you can set it up to change a double dash to an em-dash. Type simple double dashes -- in the Replace box and then type Option-Shift-Dash in the With box. Miraculously, it changes automatically to a glorious em-dash — as you type!!!! Hoorah! (You just have to remember to double dash. Of course the user has to fix the software's mistakes...grrrrrrr.)
This is a workaround, but it still doesn't explain what the Option-Shift-Dash key combo creates, which apparently is nothing when you try to copy it elsewhere.
Perhaps the em-dash is incorrectly coded for the option-shift-dash keyboard combo, which messes everything up FOR TYPING IN DOCUMENTS ONLY. (Remember that it WORKS in the Autocorrect dialogue box.)
Hmmmmm..... Inquiring minds want to know. The rest of us want Microsoft to fix it!