It is very common to have doubts about the use of the hyphen in the words of the Portuguese language, as they have several rules and exceptions, even more so after the changes brought by the New orthographic agreement.
the case of the word welcome, is one of the exceptions to the hyphenation rules, as the New Orthographic Agreement tells us that we must use a hyphen between two terms only when the second word of the expression, followed by ‘bem’ (first word of the expression), begins per vowel or by the letter 'H'. What does not happen in 'welcome', as we have the second word starting with the vowel 'v' and not 'h', which makes it an exception and must be spelled with a hyphen.
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Note the examples:
It is welcome to my new home.
Welcome back to Brazil.
be welcome to the show.
Therefore, remember that every rule has exceptions, as is the case with welcome, which despite not following the rule specified by the New Agreement, the hyphen should be used.