As a workaround, you can use — instead, and – for –.
(See http://htmlhelp.com/reference/html40/entities/special.html.)

Most likely the --loaddtd option is missing for xmllint - thus it doesn't even bother to load and look at the dtd and the entities defined/linked therein.

This is the case for gnome-games' help at least. 

All of our *external* entity references in Gnome Games have been converted to unicode equivalents.

Just for the record: I still think g-d-u should allow those entities. The fact that it works with --loaddtd points to that being the correct choice. I understand from IRC conversation that that's however not possible due to distro's catalogues being broken...