From poking around the Discourse a little, it seems as though some Unicode characters are supported and some are not: e. g. Rationale behind excluding some unicode characters from identifiers - #11 by t-bltg
But that doesn’t seem to explain the issue I found with \Vert which does TAB-complete: c. f. Unknown Unicode Characters · Issue #546 · JuliaLang/JuliaSyntax.jl · GitHub