One answer to your question,
Kuruharan, ones that's a little tongue in cheek,
is that it's because Tolkien wrote things that way.
For example, he wrote 'Middle-earth', not 'Middle Earth'; so we and other fans who write about him and his works tend to write that title according to the first example, with the dash.
You asked a good question, and
Galadriel55 and
Andsigil offered some good answers.