Please don't change the style because it 'feels wrong' or 'looks funny' or some other similar reason. The only exceptions to keeping a style as it is should be if some authority (publisher, professor, etc.) provides you with their own required style standard. Ideally, even these exceptions wouldn't occur.

The key purposes of a citation / reference style are to 1) provide a standard way attribute credit to authors for their intellectual product; and 2) facilitate a reader's efforts to find the full text of the cited work.

There are standard ways of shortening author names so that the author can, in the context of the publication, be identified. When names are abbreviated, some information is lost. Sometimes, extra effort must be done to disambiguate similar names. If the name shortening standards are violated, trouble brews.

The hyphen in this case has implications beyond how it looks on the page or screen. Beyond the standard set in a citation style, the hyphen guides where the author's name will appear in an alphabetically ordered list in a bibliography, catalog, or index. Although I guess that most people do not know many of the arcane rules for placement of authors in an author-index, these rules exist. If a hyphen is omitted from a first or last name, the placement of that author in the list will be changed (nothing, something rule).

Allow me to further argue: If something about a standard looks peculiar it is better to grow accustomed to the peculiarities than to make unnecessary modifications. When someone who knows the standard sees a manuscript that violates the rules they are more likely to see an error than to assume that the violation was done for aesthetic purposes.

edit:

An author's reputation is, in part, based upon the number of citations to his or her work. If those who do the citing represent a cited author's name in a nonstandard way, the cited author may be denied due credit.

2nd edit:
There are styles such as Vancouver that specifically call for the removal of the hyphen when hyphenated given names are converted to initials.

.csl files are just .xml text files, so you can edit and search them in any text editor.

yeah, the style editor in Zotero is very lightweight, I don't think we'll add any text editing functionality there. I also go back and forth between text editor (emacs with nxml mode in my case so I get live validation; others use oxygen) and the editor. The more used to this you get, the less you need to test things out, so it reduces the back-and-forth.

There is also the Style Development area of the Juris-M project site (GitHub account required). Not as slick as Emacs+nxml, but there is a guided-tour tutorial, it does one-click validation and preview, and it supports the official CSL schema as well as Juris-M.

I'm not exactly an emacs guru, but nxml-mode is included in emacs version 23 onwards, so you don't need to do anything, you can jsut invoke it with M-x nxml-mode

Its main benefit is live validation (you'll have to add the CSL schema from github and the set up schemas.xml to automatically apply it for .csl files.
I also use this defun: http://stackoverflow.com/a/570049/1483360 to autoindent CSL files exactly to specifications.