I'm currently writing this on a Win98 PC which does not support Chinese and I have never installed the Chinese support on my WinXP PC and I'm also not a font or codepage expert, but I think with selecting a different locale you change within a font the byte offset (character subset). So if you can't see at the hex offsets already written the estimated characters AFTER switching to locale Chinese (= changing character subset), the font is not good. Don't blame me, if this is nonsense. I'm really not an expert with Asian and Arabic languages.
Try following if you own Microsoft Word. When you have set locale Chinese in the Regional and Language Settings of Windows, open a new Word document, copy a text part from UltraEdit to the Word document, mark the text and set font to Courier New and enable in Word the option to show white-space characters with '·', '¶' and an arrow.
Is this working in MS Word or fails it too?
If it is working in MS Word, contact IDM support by email. Maybe they have an idea what to do or can reproduce the effect.
Note: MS Word supports more than 1 font / code page within a document. So it is possible that MS Word changes the font for the characters internally and temporarily just to display the characters correctly.