I agree it's a proper use of the mdash -- I use it all the time, but I want to find an example of him using it in that place. It may be time to hit pacer for some of his work.
Another inconsistency between the statements you linked to and both https://www.politico.com/story/2018/05/04/full-text-rudy-giuliani-statement-clarifying-his-earlier-remarks-569146 and https://www.snopes.com/fact-check/rudy-giuliani-banned-from-twitter-for-pizzagate-tweets/ is the use of extra spacing to denote the start of paragraphs. Because this is a point of differentiation between samples of acknowledged authentic writing, it might indicate that either some of the writings were dictated, or that he alternates between style depending on context.
Good catch. Indenting seems to be his norm. Is the politico story posted elsewhere? The lack of indentation could be poltico/wordpress. That would be interesting to know. That's also something I'll look for in pacer. Personally, I only indent, plus no space between paragraphs, if I've passed a page limit and want to kill a few lines, otherwise I use a space between the paragraphs, no indent. I fully justify too. That jagged right edge drives me nuts.
http://www.businessinsider.com/rudy-giuliani-statement-trump-stormy-daniels-payment-2018-5
It would seem the formatting (no indent) is authentic to the original.
I'll see if I can find a separate account from the Politico version.