Three dots often signifiy that certain parts of a sentence have been left
out. In dictionaries, it is important to save as much space as possible, and
I have noticed that the three dots often come more closely together than
three "ordinary dots". Is there a TEI character entity for these three dots?
The three dots are called an ellipsis. There is no semantic
distinction between three dots printed close together and three
printed further apart: that is purely a typographic artifice (done as
you say in the cited instance to save space).
Normally if you type three periods, a wordprocessor or DTP system will
print them too close together: they require wider spacing to be
typographically acceptable in most house styles and are thus normally
handled as a single entity (for example, TeX's "\dots" macro, or the
related PostScript character found in some fonts).
The ISOpub character entity file has entities … and ⋮
for horizontal and vertical ellipses.