Thanks for a very useful post! Interestingly, I found that the ODS escapechar doesn't work here, you must use (*ESC*).

I also found that the spefication used here works for formats but not for labels.

proc format;
value $sexF
'F'="(*ESC*){unicode '2640'x}"
'M'="(*ESC*){unicode '2642'x}"
;
run;

title "The unicode specification doesn't work in a label (*ESC*){unicode 2639}";
proc sgplot data=sashelp.class;
format sex $sexF.;
label height="(*ESC*){unicode '263A'x} height";
vbox height / category=sex;
run;

The label for "height" isn't expanded. Is there a workaround?

I'm using SAS 9.4M3 (9.04.01M3P06242015)