I would think that for AWT components, the glyphs generation is completely under control of the the underlying operating system. So if whatever font your system uses for "dialog" (ariel on my machine) does not have glyphs for these characters, you won't see them.
In Swing, the glyphs are generated and placed in the bitmap representing the screen within the Java environment, which can be configured to map and support the fonts differently. (See jre/lib/font.properties .)
I'm pretty sure that on my machine, none of the fonts currently installed include the Devanganari characters, so I would not expect to see them in either Swing or AWT widgets, even though Unicode is supported. I expect your machine has some fonts that support Devanganari, and some that don't. If Windows machine,
you should be able to use the Character Map accessory to see that.