Thanks for the suggestion, I actually hadn't found WM_UNICHAR yet, always only looked at WM_CHAR or non-filtered input. :-X
However, I cannot seem to trigger WM_UNICHAR at all.
I found WM_IME_CHAR which gets fired N times before N characters from an IME arrive, however they are converted to ANSI as far as I can tell before I get my dirty fingers on them. Even when I CreateWindowExW() a new Unicode window (IsWindowUnicode() returns 1 then) I cannot extract or combine WM_CHAR events into unicode digits.