I use an external script to retrieve a JSON that contains a String, that has Unicode characters in it, e.g. ü, which is U+00FC, or ä, which is U+00E4. It is escaped as '\u00e4' inside the value returned by the external script. When I look into the history of the "External Check" item, I see the raw json string with the escaped unicode:

{"DeviceLog": "IPv6-Pr\u00e4fix"}

When this gets filtered by a "Dependent item" item with the "JSON Path" "$.DeviceLog", the item's value becomes "IPv6-Pr?fix". If it encounters a "\u00E4", the dependent item stops there.