I've never had to work with Unicode within VFP either, or spent any time working with Reports, but the Help for the Render method of the ReportListener does mention Unicode:
cContentsToBeRendered
Indicates the text to be rendered for Expression (Field) and Label layout elements.
For Picture layout elements sourced from a file, cContentsToBeRendered contains the filename.
When specifying a filename for an image, ReportListener provides cContentsToBeRendered
as a DBCS string, which is the standard format for strings in Visual FoxPro.
However, when indicating text to be rendered, ReportListener provides
cContentsToBeRendered as a Unicode string, appropriately translated to the correct
locale using any regional script information associated with this layout control in
its report definition file (frx) record.
If your derived class sends the text value through some additional processing, such as
storage in a table, you can use the STRCONV() function, and its optional regional
script parameter, to convert the string to DBCS first. For more information, see
STRCONV( ) Function.