In reply to Indesign ALL CAPS button: what OT-Features does it apply? What is "desired behavior"?:
Raising the colon? Who does that?
With regard to raising the hyphen or dashes, I think it depends on the context of the all-caps setting. If, for whatever reason, one has all-caps within a body of text, then raising the hyphen/dashes seems unnecessary and may look weird. But in titling or other display situations where the all-caps stand by themselves, raising the hyphen/dash seems to me not only desirable but pretty much essential, since it will otherwise look too low in most types. I generally raise it to align with the crossbar of the H.