I have an example to share about this.
As the .com.au domain space has some strict rules (albeit getting better), at one stage a name I used for a long term (5 year) client campaign HAD to have a hyphen in it (as the non-hyphen name was a "placename" -- a suburb in South Australia and thus not allowed to be registered).
The name for that campaign was oaklands-park.com.au -- we stopped using it though several years ago after the project was completed (sale of 80 home estate).
Anyway, one good upside was that no-one had the non-hyphen version in terms of competition, because of the strict .com.au policies.
But ... it was harder to use on the phone ("just go to oaklands park dot com dot hey you, and put a hyphen between oaklands and park so it's oaklands hyphen park dot com dot hey you").
(the "hey you" represents "au"

)
It's a year or two since I last saw info about it, but the Google info that I had was that Google WOULD index each word separately in a hyphenated name as a keyword associated with that site.
So in the case above it would index "oaklands" and "park" -- they could be found using "oaklands park" as well as "oaklands-park"... but Google wouldn't index the words if the domain name was oaklandspark.com.au. I haven't heard any different about that changing. I used to keep a close watch on that info because it was important for that particular campaign.
To be honest, I never remember trying to search for our name with "oaklands-park" but always found it when using the two words separately.
But if it still applies, that might only account for a tiny percentage of your search engine ranking anyway -- it's value is probably not that important compared to other
SEO strategies.
If I had the opportunity, I'd be going for both names where possible... easier to "speak" non-hyphenated names and take account of visitors typing in the name directly without the hyphens, and having the hyphen version to both get the words indexed and to keep out competition.
Cheers,