Hyphenated last names seem to break many customer service people - they'll do things like insist one is the "real" name, assume you are married and ask when, etc. I think it's that hyphen is such a simple thing, it screams "understand me!" instead of simply being entered verbatim.
Assuming hyphen = married = wife's father's name-husband's father's name is just so ignorant. I've known many people who have always have hyphenated names, a few I've gone to primary school with. I have a good friend with an always-hyphenated-last-name who gets asked personal questions by strangers and near strangers about her name. How about "It isn't any of your business, I can have as many names as I want?"
