Okay, not wrong, but misunderstood. When the dictionary tries to tell you what the beginning of a word means, it uses a hyphen to indicate that it is a prefix. Thus, it tells you that “co-” at the beginning of a word means “together.” But the word comorbid is not hyphenated.
There are exceptions. A hyphen is generally needed if the prefix makes two vowels back to back (re-energized) or creates a word that could be confused with another word. Example: Students who don’t want to write their master’s dissertations can be called “anti-thesis,” but this is the antithesis of good scholarship.