This is a misconception which keeps getting repeated. It's easy to use an em-dash on any modern Linux desktop as well (and in a lot of other places).
But then, long before I had a Compose key, in my benighted days of using Windows, I figured out such codes as Alt+0151. 0150, 0151, 0153, 0169, 0176… a surprising number of them I still remember after not having typed them in a dozen years.