I just tried it on my Mac, and the shortcut of Option+hyphen works in both the score, and the lyrics window.  I don't type into the lyrics window, in  most cases. I enter my lyrics in Pages, where the type is big enough to see, without using hyphens at all. Then I go to Lyric Hyphenator https://juiciobrennan.com/hyphenator/ and the lyrics go in automatically. It's not infallible, but it's pretty darn handy. Once I have the hyphens in and corrected, I paste it into the lyrics window, and click-assign.

Keep in mind, though, that the hard hyphen is actually an en-dash, not a true hyphen-minus. I've complained about this for years.