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They may not be giving them all the credit that the owners of those domains think they are due. And they may not be giving them the credit that they were giving them before. But I would be willing to bet that they are not applying a penalty.
That's not been my experience.
I have a site that the site name and URL are also keywords and I use my hypenated version for everything except "word-of-mouth" referrals.
My particular site fell out of the top 10, but for the same search this month, there are still several keyword hyphenated sites in the top 10, some of which remained there thru the apparent algo change.
Maybe it just has to do with what you're searching for and it's particular to that term or set of results.?
Jenny