This was an intentional design choice that goes all the way back to the original design of Java.
To those folk thatfolks who ask "who wants to Unicode escapes in comments?", I presume they are folkfolks whose native language uses the Latin character set. In other words, it is inherent in the original design of Java that folkfolks could use arbitrary Unicode characters wherever legal in a Java program, most typically in comments and strings.
It is arguably a shortcoming in programs (like IDEs) used to view the source text that such programs cannot interpret the Unicode escapes and display the corresponding glyph.