What literal characters should be escaped in a regex?

In many regex implementations, the following rules apply:

Meta characters inside a character class are:

• ^ (negation)
• - (range)
• ] (end of the class)
• \ (escape char)

So these should all be escaped. There are some corner cases though:

• - needs no escaping if placed at the very start, or end of the class ([abc-] or [-abc]). In quite a few regex implementations, it also needs no escaping when placed directly after a range ([a-c-abc]) or short-hand character class ([\w-abc]). This is what you observed
• ^ needs no escaping when it's not at the start of the class: [^a] means any char except a, and [a^] matches either a or ^, which equals: [\^a]
• ] needs no escaping if it's the only character in the class: []] matches the char ]

[\w.-]

• the . usually means any character but between [] has no special meaning
• - between [] indicates a range unless if it's escaped or either first or last character between []

While there are indeed some characters should be escaped in a regex, you're asking not about regex but about character class. Where dash symbol being special one.

instead of escaping it you could put it at the end of class, [\w.-]