How to allow — in category name

The — to an mdash conversion happens inside wptexturize() http://codex.wordpress.org/Function_Reference/wptexturize which is applied to many things (including taxonomy titles and other functions output.

Look for places you might want to remove the filter from in wp-includes/default-filters.php and remove the filter with the remove_filter() function: http://codex.wordpress.org/Function_Reference/remove_filter