i use named entities for all special characters (&mdash, &ldquo etc. but also à, &oelig, and é etc.), it's a habit from coding for the web. i have noticed that when creating an xhtml file in dreamweaver, if you write the special character in the "design" box, it will automatically be encoded with the entity in the code ; however if you are working with the epub dtd most special characters will not be automatically encoded, this may mean that it's not specified as necessary with that doctype. but, since i am wary of (bad) suprises i think it's safer to use the named entities even with the utf-8 encoding. however your question makes me realise i have not verified what the epub standard specifically says about this ; interesting question.
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