Because the contact window uses a certain font (say X) and your contact uses a certain font (say Y)
Since its in the chat window, the font Y shows the character because it has this character in question.
The font that the WLM window uses (font X) doesn't have this character and hence you see a black box
Hope this helps. I'm not 100% sure but this is most likely the answer. This is what happens in most such cases
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I'm not 100% sure but this is most likely the answer. This is what happens in most such cases 
