But perhaps because of the link text? The oft-quoted example of artsexpress.com comes to mind here - where does the engine make the break?
I agree with Macguru that I haven't seen much change with this. But if you are in an area which needs the extra edge, then the impetus from the sites that link by just using the URL may help.
Personally, I don't like the hyphens and think they cause more problems in other ways (phone calls, etc). But, for the original point, it may be this that is making the difference.