Show a screenshot of your Character panel with the arrow selected.
I just copied the arrow from your message here and pasted it into a text layer in After Effects, and it appears fine.
Thanks, Todd. It was defaulting to Myriad Pro for some reason, which I had noticed and changed to Helvetica Neue (the font I'm using).
So based on your question I changed to a third font (Helvetica) and the glyph appeared. But why would it not work in Neue?
The glyph may not be available in Neue.
Yep. What Rick said.