Yes. MS Word does convert double dash to emdash.

An emdash works instead of parentheses or colons. They are neater and tend not to clog a piece. A hyphen joins two words or a word and letter together.

emdash;
The castle was as big as a dragon -- so He had been told; he'd never seen a dragon -- and filled with people.

emdash:
There it was -- the holy hand grenade of Antioch!

hyphen
She was an eighteen-year-old dog and acted every single one of those years.