@ Bob: I always refer to and quote the OED online (don't have hard copy of it), so that is probably the most up-to-date stuff.
Err, no, unfortunately not. If you take another look at the OED entry for "fellow", which is where "fellow-worker" appears, it says, just to the right of "Text size",'This entry has not yet been fully updated (first published 1895)'
With such a vast and comprehensive dictionary as the OED, revision does take some time...
For up-to-date BE, you'd be better consulting its shorter relatives like the Concise Oxford English Dictionary e.g. via this website:http://www.wordreference.com/definition/co-worker
Concise Oxford English Dictionary © 2008 Oxford University Press:
▶noun a fellow worker.
or just Oxford Dictionaries Online:http://oxforddictionaries.com/
If you enter "fellow-worker" in those dictionaries, it comes up only indirectly in other definitions, and without the hyphen
So, I agree that the hyphen is wrong or at least outdated in BE too.