Unicode is not supported in plots or uicontrols before R2014b. Which MATLAB version are you using, and which font are you configuring?
Actually in OS-X in R2014a (before the full Unicode support), the following works for me:
pushbutton = uicontrol('style', 'push', 'string', '<html>abሀሁሂሃc');
However, setting an edit control to this or to contain the unicode characters does not work in R2014a
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