Your font needs to be able to display the characters in question (not all fonts support that).
If you are sure that UStr is a WideString (you're on Windows I see) / UnicodeString then Utf16ToUTf8(Ustr) should work.
Do you have DisableUTF8RTL defined in your project options?
If so, then assigning a UnicodeString to a String may indeed cause data loss: your current Windows codepage MUST support the character in it's ANSI codepage.
Bart