I wasn't able to reproduce this issue with the Sigil 0.8.7 and 0.8.9 Windows and Linux versions. It's most likely a system font management issue.
Since Arial, Times New Roman and Courier New don't contain the
ONE DOT LEADER glyph (․), the system most likely uses a fallback font for this glyph. AFAIK, Windows uses Segoe UI Symbol. If you don't have this font installed, you might see a box.
As a workaround you could either install a free font that contains this glyph, e.g. Charis SIL, DejaVu Sans/Serif, Linux Libertine/Linux Biolinum, and select it as the display font and/or use the equivalent HTML entity (․ or ․).
(Make sure to add whatever entity you choose to the Entities to preserve dialog box (Edit > Preferences > Preserve Entities) otherwise Sigil will convert it to the corresponding Unicode character and you might not be able to tell it apart from a normal dot.)