Captivate triggers success or failure based on events.  So if your user clicks the correct object a success criteria is triggered by their correct action.

If you are using a click box over a specific area of the screen that the user is supposed to click, then clicking outside that area will register a Failure.

In your case, what are you intending to use as the incorrect action or event?  Will the user be pressing some other key, or clicking some other object? If so, then you should be able to structure the interaction to register anything other than the desired action as a failure.

I haven't heard of anyone using unicode values in a TEB to mimic a failure.  That might require some ActionScript coding and possibly a widget to pull off.

In the case of buttons and clickbox objects, where clicking is allowed, the failure is normally registered when the user CLICKS OUTSIDE the button or click box.  The evaluation of Success/Fail happens on the click.

In the case of a Text Entry Box, the interactivity is all about what the user enters into the text field and whether or not it is correct/incorrect when compared to approved answer text.  The main purpose of the TEB object is not centered on the clicking of the button that accompanies the text field.  The button just provides a way to trigger the Success/Failure evaluation of the user interaction with the text field.

Since you have deselected Allow Mouse Click for your click box, you've effectively made it mandatory to use keystrokes to trigger the Success/Failure evaluation of the object. So clicking outside the box is no longer going to do anything because Allow Mouse Click is off.  You'll get a failure message on this click box now for many (but not all) keystrokes that are not the one assigned.

By the way, using the Escape key as a keystroke if you Preview the project in Captivate just shuts down the preview (as you've probably already found out).