> ...on Mac, for example, it’s simply Option + Shift + Hyphen.

Fedora with XFCE here, but last I checked on Windows, it worked exactly the same over there: With a Chinese IME installed, tap shift to switch input language, shift+hyphen produces a double em-dash: ——, likewise, shift+6 a double elipsis: ……

You encounter those a lot in simple, machine translated Chinese, along with literal translations of "not X but Y", "not just ... but also" and similar sentence constructs that are common in Chinese. I suspect that's how a disproportionate amount of that ended up in training material in the first place.