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After checking the epub and mobi files in various viewers, and sometimes seeing a space or a box before the em dash, I decided to let them remain orphans and fall where they may. I think that's the lesser evil of the choices since I can't control what device or viewer people read on.
I checked various purchased books and library books, where the formatting was done very nicely, and they all had orphaned em dashes, even when there was a space before the dash (which in that case I think it could be avoided using   for the space though).
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