On Linux, with a compose key, it's <compose><-><-><.> (at least with the settings I have, I don't think I overrode that one). "⸻" is even more fun. You can even make your own sequences, e.g. I've got <compose><O><h><m> for "Ω", and <compose><m><u> for "μ", very handy for electrical stuff like "160μA at 1.8V needs a resistance of 1.25kΩ, dissipating 288μW".
On a Mac, at least, the "correct combination of buttons" is trivial and easy to remember, even for someone like me who rarely uses em-dash. (But, I want to start using it more because I'm sick to death of people treating it as a scarlet letter.)
Where do you think the LLM is getting it from? ^_^