@PoP: Use precombined characters, we don't do any shaping/normalization, so any funky multi-code character will probably not do what you want, and will instead print those multiple codepoints separately (which is why you get two fallback characters here

).
(In this case, I simply had to c/p the rocket from your original post, as rendered by firefox, and voilą).
EDIT: Speaking of ZSH, its echo builtin should handle Unicode escapes:
echo "\U1F680" does the right thing on my end

.