@david, I have no such substitution set up under Keyboard preferences. Now that I know what to look for, however, I can confirm that the substitution occurs. I can actually see it happen as I type. And I can verify it by using the back arrow. When I get to the ellipses character, the cursor jumps back over all three periods that were entered as separate characters.
The same thing happens in Notes, Preview, Messages, and Mail, but not Calendar, Maps, Photos, or (obviously) Firefox. So it seems to be an app-specific thing, not a system-level one.