Your word proces­sor assumes that any hyphen marks a safe place to flow the text onto a new line or page. Sim­i­lar to the non­break­ing space, the non­break­ing hyphen looks iden­ti­cal to a hyphen but will not be used as a place for a line break or page break.

To what end? A non­break­ing hyphen guards against an awk­ward line break in a cita­tion with an inter­nal hyphen.