@Hartmut
You are correct. Lazarus is Unicode (UTF-16), and it does not display or preserve 8-bit ANSI bytes above 127.
Characters like #255 are interpreted as Unicode; therefore the VCL replaces unprintable characters with '?' (63), which is exactly what you are seeing.
Years ago, before unicode, this trick used to work, but not anymore.
However on Win11 you can still put the "space" character (ANSI #255) in file and folder names even as the first character by holding down <ALT> and pressing 2-5-5 on the numeric keypad. I just tested it and that works.
So there's that at least.