Syntactically, and setting aside the specific case of "just curious" here for a moment, I think both formations are valid. The important thing is to not use the same indicator in confusing ways within the same sentence. So, for example, don't write "just curious -- what did you think of Jesica -- as a woman and as a person -- (etc)", because the use of unpaired and paired dashes in such close proximity is likely to be confusing.
I balked at "just curious" in the previous paragraph, because its use as a sentence fragment throws things off a bit. I wouldn't use that construct in formal writing, though I might instead use "I'm just curious". But if I did that, I would follow it with either a colon ("I'm curious about the following thing") or a dash; a comma would be too weak.
But if, instead of "just curious" you led with "therefore" or "however", I think either of your two constructs would be fine.