I suspect it's a spandrel of some other feature of their training. Presumably em dashes occur disproportionately often in high-quality human-written text, so training LLMs to imitate high-quality human-written text instead of random IRC logs and 4chan trolls results in them also imitating high-quality typography.
Nah, because it's new. 3.5 didn't emdash and I don't think 4 even did.
Besides, LLMs' basin of high quality text is Wikipedia.
Wikipedia is full of em dashes.