PinkDolphin has given an example of a dictionary that doesn't do it. It's an American dictionary. For other American dictionaries, I generally use two: a paper version of M-W and the
AHD online. My M-W is at the bottom of a rather impressive-looking pile of books now, so I won't check what's done there. But the
AHD does indeed split "cot" and "caught". For British dictionaries, it would be strange if they did. The merger is not present in English English, and those dictionaries tend to stick to some kind of "generic
RP".
As PinkDolphin said, the merger
is spreading. Only recently, I came across a blog post by a person who just realized they were starting to merge "cot" and "caught". When older dictionaries were complied, the percentage of merging Americans was lower, and you should take into account that linguistic changes take their time to penetrate dictionaries, especially ones with traditions. We will see what the future will bring, but indeed when I watch American television, I very rarely hear these vowels unmerged. Still, even on this forum, I remember an American calling this merging lazy pronunciation. So some haven't gotten used to it yet.