I would suggest that the hyphen should remain when the expression is used:-
(a) to show that something or someone is commonly designated by the name or term specified. e.g. "Western Countries belonging to the so-called Paris club"
or
(b) to express one's view that such a name or term is inappropriate.
e,g, "she could trust him more than any of her so-called friends"
but when stating factual information, the hyphen may be removed e.g. "I.S.I.L. is so called because the initials stand for "Islamic State of Iraq and the Levant."