Cannot use Alt code for Unicode character insertion any more
Solution 1:
As far as I know, the Alt nnnn (nnnn decimal > 255) method is a RichEdit feature and therefore works on selected programs only, such as WordPad and MS Word. In other programs, the number entered, nnnn, is reduced modulo 256 to yield a number in the range 0...255, interpreted according to the code page in use.
Cf. to Insert Unicode characters via the keyboard? which describes some alternative methods. Unfortunately, the Alt + xxxx (xxxx hexadecimal; e.g., Alt + 2026 for “…” ) method is apparently disabled by default, and you need to modify Windows registry to allow it. In addition to the UnicodeInput utility, there is also Unicode Input by Name, but these methods are not quite as convenient for fast typing as Alt methods.
Solution 2:
Alt codes and unicode characters are only vaguely related, and (for the most part) it's up to each application to determine how to deal with them, so it can be different between apps, versions of apps and such.
Essentially it's about character encoding and Code Pages, rather than fonts or user input.
Alt codes for ASCII are only 0-255 (8-bit code page). Many programs (and OS's) deal with larger numbers inputted by the user by wrapping at 256.
256 = 0, 257 = 1, etc.
So entering ALT+8230, is actually equivalent to typing ALT+38 (8230 / 256 = 32.1484375. 256 * 32 = 8192. 8230 - 8192 = 38), which is the ASCII character "&" -- unless the program intercepts it and replaces it with 'proper' Unicode codes, or by using a different code page (ie: Unicode), as MS Word, and newer WordPad versions do, for example.
Windows uses an extended version of the MSDOS 8-bit Codepage (850) called the "Windows-1252" code page (for English languages anyway). But it only uses this for legacy parts of the OS that don't fully support the Unicode code pages.
These are the reasons why you can easily see different results in different OS's and applications, as well as within different parts of Windows itself.
It's a confusing issue to say the least. :)
I'm pretty sure Alt-0133 is the "official" Windows extended ALT code for the ellipsis (in the Windows code page), so you'll probably have more consistent luck using it.
Here's some more related info.