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We're very close to the limit of my knowledge on this. But...
From discussion I have seen in the Sigil and calibre forums, they seem to convert the HTML entities into the unicode characters. Part of the reason is the underlying tools they are using makes this easy to support. But, it seems that these might be better handled by all the different ereaders. Once this is done the two editors (Sigil and the calibre editor) handle the display differently. You have seen how Sigil does it. The calibre editor displays a character with a different colour background. Putting the cursor over it shows information about the character in the status bar of the screen.
From this, I think you can enter whatever is the easiest for you to use when writing the book.
Adding the font might be the only way to guarantee the display. But, from comments here, there might still be problems. I would suggest asking this question in the epub forum. Though it has probably been asked before, so a search might find the answer.
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