Standard grep does not by default understand Perl-like regular expressions (PCRE) such as \w. GNU grep does handle \w (and \W) even in basic and extended regular expressions, which is an extension to the standard behaviour. Other PCRE is enabled in GNU grep using its -P option.
The reason your command returns nothing is that + is an extended regular expression operator, which needs -E to work in GNU grep:
grep -E '^--\w+' file
Without -E, your expression tries to match --W+ literally (where W is some single character matched by \w).
Also note that you may want to anchor the expression at the end as well, as in
grep -E '^--\w+$' file
or else you'll match lines containing non-\w characters later, like
--00000000=
Alternatively, you may use
grep -xE -e '--\w+' file
which does the same thing. The -x option forces a full line match. The -e is needed to delimit the expression from the command line options as the pattern starts with a dash.
GNU grep also understands \+ in basic regular expressions (i.e. when using grep without -E or -P):
grep -x -e '--\w\+' file
Or you could use \{1,\} in place of the \+.
With a non-GNU grep (and GNU grep), you may use [[:alnum:]_] (which matches a letter or a digit, or an underscore which is included separately here) in place of \w:
grep -xE -e '--[[:alnum:]_]+' file
To match hexadecimal numbers and underscores, use [[:xdigit:]_]:
grep -xE -e '--[[:xdigit:]_]+' file
or,
LC_ALL=C grep -xE -e '--[0-9a-fA-F_]+' file
The setting of LC_ALL to C (or to POSIX) for the grep command is necessary since character ranges are locale dependent.
