A family of Microsoft word processing software products for creating web, email, and print documents.
The replacement doesn't happen until you type the space or punctuation following the word to the right of the hyphens. For example, if you type "this should be a dash--after I type" then the hyphens should change to an em dash when you press the spacebar to the right of the word "after".
If you type a space to the left of the dashes, they're replaced by an en dash instead of an em dash, but the timing is still the same.
It may also help to remember that the default shortcut keystroke for an em dash is Ctrl+Alt+Numberpad Minus. The en dash doesn't have a default shortcut, but you can assign one if you need it; the combination Ctrl+Alt+Shift+Numberpad Minus is available.