I'm not sure this is specific to helm, but when in helm's
C-c h 8) (though this also happens with
helm-unicode), I notice that some characters show the weird little box glyph as if the character can't be rendered, but then when I actually "select" them in helm, they do render. This seems very curious, and so I myself am curious as to what could be causing this.
In the following example, consider the character
RIGHTWARDS ARROW WITH NOTCHED TAIL, though this happens with all of the other characters that show boxes.