InDesign treats two words separated by an em dash as a single word when applying styles. For example, if you create a paragraph style which includes a nested style to set the first three words of the paragraph in small caps, InDesign will set the first four words in small caps if the first three words include an em dash.

An em dash should be treated as punctuation, not a connector. Words separated by an em dash are are separate words and should be treated as such.