Word doesn't have non-breaking versons of en dashes (–) and em dashes (—), and it doesn't seem that inserting either a normal non-breaking space or a zero-width non-breaking space either side of them has any effect.

The only way around that would be to insert a manual line-break before the word followed by the first in each sequence of en dashes and em dashes and line ends, but that can't be relied on, since:
• any subsequent edit to the paragraphs concerned; and
• simply attaching a different printer to the the document (whether on the same PC or another one),
is liable to mess up the paragraph layout.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]