I suspect it is an “insert text” setting in Word if it is inserted when you are not after a space?
It doesn’t happen to mine (Windows 2007, Word 365, Endnote X8.2), although it puts in an automatic space the insert citation. I can’t find where this setting could be adjusted thought, as I think one used to be able to do in older versions of Word. I tried both using the insert citation from the toolbar of Endnote (desktop) and by a ctrl+C and moving to the word document and using ctrl+V to insert.
Or do you want endnote to somehow detect this later? It won’t. You could search and replace <space><open curly bracket> with just curly bracket, when unformatted?