Yeah, so I think the reason behind the “no quotation marks for telepathy” thing is because it’ll reduce confusion whenever a sentence of dialogue begins with an emphasis but then loses it almost immediately. Consider the following passages. See how confusing it can get, and then compare with the quotationless version to see how much clearer it can be without them.
I stand there, watching Zachary’s figure grow smaller and smaller until I’m left alone on the sidewalk—as alone as can be with strangers filing past me in both directions.
“Well, that didn’t work out as expected.”
I whip my head around, searching in vain for Alex’s face.
“Oh, yeah, don’t bother with that,” he says. “I’m in your head.”
“Wh-What? How is that possible??”
“Man, it’s really roomy in here.” Somehow I can hear wood scraping against tile in my head, as though someone is moving furniture. “You know, most people’s heads are too full of running thoughts for me to get comfy or anything, but I’ve got the whole place to myself here!”
“Uh, I’m glad I could—Hey! Wait a minute, was that an insult??”
People around me begin to stare and I realize I had said that aloud. I sheepishly turn around to find somewhere I can hide and…maybe die of embarrassment.
“It’s ok, you’ve done a lot more embarrassing things and survived,” Alex says—thinks?
“You! Are not! Helping!!” I hiss aloud, blanching when a mother pulls her daughter up by the arms and walks in the opposite direction from where they were coming.
“Oh God,” I think to myself, “Everyone thinks I’m crazy.”
“Aw, don’t sweat it, man, they never thought much of you anyway.”
“…You’re really bad at comforting people, you know that?”
“Who said I was trying to comfort you?”
Now, it might not be terribly difficult to follow who’s talking and who’s thinking in this passage, but I also have much more experience when it comes to writing and when it comes to writing mental conversations, so I already have an idea of what I need to compensate for and what I need to clarify.
Hopefully it becomes a little bit more obvious what I mean when you compare the previous with the following:
I stand there, watching Zachary’s figure grow smaller and smaller until I’m left alone on the sidewalk—as alone as can be with strangers filing past me in both directions.
Well, that didn’t work out as expected.
I whip my head around, searching in vain for Alex’s face.
Oh, yeah, don’t bother with that, he says. I’m in your head.
Wh-What? How is that possible??
Man, it’s really roomy in here. Somehow I can hear wood scraping against tile in my head, as though someone is moving furniture. You know, most people’s heads are too full of running thoughts for me to get comfy or anything, but I’ve got the whole place to myself here!
“Uh, I’m glad I could—Hey! Wait a minute, was that an insult??”
People around me begin to stare and I sheepishly turn around to find somewhere I can hide and…maybe die of embarrassment.
It’s ok, you’ve done a lot more embarrassing things and survived, Alex says—thinks?
“You! Are not! Helping!!” I hiss, blanching when a mother pulls her daughter up by the arms and walks in the opposite direction from where they were coming.
Oh God. Everyone thinks I’m crazy.
Aw, don’t sweat it, man, they never thought much of you anyway.
…You’re really bad at comforting people, you know that?
Who said I was trying to comfort you?
So, the advantage of having quotationless thoughts is that it’s much clearer who’s thinking and who’s actually talking because you already have a visual cue telling you what’s out loud and what’s not. You can still manage it with quotations, but if you notice, you have to be much clearer when using quotations than when not and even for a seasoned writer it can be difficult to know where readers might be confused and when not. So I would personally suggest to make your life easier and not deal with quotations. If you’re still having issues seeing this in your own writing, then I’ve reworked your writing below to be clearer without quotations:
Your writing
“Well, I don’t know if we can do that, it’s too risky.” Roger said, rubbing at his chin.
“There is always a risk, whether we do something or not. They’re not gonna give up just because!”
“Yes, yes, I know," he said, frowning and waving down his hands to try and calm her down. He knew it was a long shot but regardless, a third opinion was always welcomed in a situation like this.
He let his mind’s voice wander.
Are you there, grumpy?
I’m always here, although not always grumpy, the voice had come to him as if he heard it from all angles.
What do you think? What’s the chance of success?
I’m sorry if I’m being pessimistic, but I would happily recommend to flee.
Roger sighed aloud.
I was afraid you’d say that.
His eyes went straight to Betty. She was palpably tense, arms knotted against her chest
“We may need to choose another option.” His voice, deep and soft, drew her away from concentrating on her worries.
Honestly, this kind of thing is just something you need to practice, as with all aspects of writing. With time and experience, you’ll find what works and what doesn’t with your particular style of writing.
I’d also like to take the time to suggest you keep a closer eye on which tenses you’re using. You switched between past tense and present tense about halfway through your excerpt. Generally speaking, it’s advised to keep to a single tense.
I personally prefer present tense as it makes everything come across as punchier and more lively (in my opinion) while past tense has a tendency to become passive. Compare your excerpt here, presented in present tense:
Your writing (present tense)
“Well, I don’t know if we can do that, it’s too risky.” Roger says, rubbing his chin.
“There is always a risk, whether we do something or not. They’re not gonna give up just because!”
“Yes, yes, I know," he replies, frowning and waving down his hands to try and calm her down. He knows it’s a long shot but regardless, a third opinion is always welcomed in a situation like this.
He lets his mind’s voice wander.
Are you there, grumpy?
I’m always here, although not always grumpy, the voice comes to him as if he can hear it from all angles.
What do you think? What’s the chance of success?
I’m sorry if I’m being pessimistic, but I would happily recommend to flee.
Roger sighs aloud.
I was afraid you’d say that.
His eyes go straight to Betty. She’s palpably tense, arms knotted against her chest
“We may need to choose another option.” His voice, deep and soft, draws her away from concentrating on her worries.
As for the em dashes, I would also advise against them but only because—and I’m actually just assuming this, if you can find evidence otherwise then I’m all ears—but a majority of your readers will have English as their first and likely only language, and em dashes aren’t grammatically correct ways to start a sentence of dialogue. So you’ll might (might) save yourself some grief or curtail any comments about your dialogue’s grammatical error if you just don’t include them. In this way readers will focus on the actual content of your story rather than be distracted by something relatively minor.
