You just type two hyphens (--) and Word will convert it to an em dash.
Typing <word><hyphenminus><hyphenminus><word><space> yields an em dash.
Typing <word><space><hyphenminus><hyphenminus><space><word><space> yields an en dash.
That this has been true for some 3 or 4 decades makes me doubt all the comments that em dashes are a "tell" of LLM authorship. On the other hand, I guess when we confine this possibility to web content, I can see how people haven't used Office for web authoring lately, and whatever they do use (like web-based content management systems) don't tend to have this feature.
More importantly, typing just a single hyphen minus in this constellation triggers the autoreplace, too. (Typing the double hyphen is only necessary without spaces in order to distinguish between an intentional hyphen and an em dash.)
From TFA:
> August 1–August 31
From a top comment:
> Boston–San Francisco flight, 10–20 years
To achieve this using the replacement feature we're talking about would take something like <word><space><hyphenminus><space><word><space><alt+leftarrow><bksp><leftarrow><bksp><alt+rightarrow> which is ridiculous.
In professional typesetting, like a book, I sometimes see spaces flanking an em dash, however.