Some may disagree but I don't think hyphens play as much of a role in SEO as they used to. I use them for longer names just because it makes them easier to read in the browser or when it's typed out. But I always use hyphens in filenames. Just a habit I developed back when it really did make a difference with SEO.
Forgive me for being pedantic, but in fact there really is a difference. An em-dash would probably never be correct in a domain name since it separates thoughts in a sentence. An en-dash might be possible in an unusual title. It is the equivalent of the word "through" as in 1900–1925. The hyphen is used to join words, as is commonly done in domain names. A hyphen is shortest, an en-dash is longer, and an em-dash is longest.
Blame Lajocar for this. If the question had been worded as intended the first time we would all have been spared this ranting!
Lajocar. Most search engines do not recognise an underscore as a space so Keyword_keyword.html is actually just one word when keyword-keyword.html is two keywords.