The Subject field is not HTML, and cannot use HTML entities. If you want to embed a character outside of the lowest 127 characters of Unicode (the lower half of ASCII), you need to "quote" those characters. So, your en dash would have to be encoded, and it would look like this:
Where the general format is
A is the encoding to use,
B is the letter Q for quoted-printable, or B for base64, and
C is the content that is encoded. The hex value for en dash is E28093, so we have to quote each pair with an equals sign:
This is all pretty compilcated, so it's rather rarely used, but if you're interested in learning more, you can RFC 1342 for more information.
Please note that this is not a limitation of Salesforce or Marketing Cloud, but instead is a limitation of the email protocol SMTP, invented in 1982, before the invention of the Internet, and considering the limitations of 7-bit computing systems, which is why it's particularly limited in what it can accept.