I'm on Sky 8. I just tested out using Alt + 0151 for em dash and Alt + 0150 for en dash, and a few other characters. They all worked for me in the grid and the index viewing pane.
If you know the Unicode values (which you do), you can easily find them in the character map once by using the Unicode value and then copy them into the Translation Manager. I set up a Translation with an equal sign = for en dash and a swing dash ~ for em dash. I just find that faster to type than using Alt codes. If I copy from some other text, I sometimes have problems with fonts in the generated index.
I don't know why you're having problems. I'm not savvy that way.
Ælfwine Mischler
American Society for Indexing (ASI)
Indexing Society of Canada / Société canadienne d’indexation (ISC/SCI)