That is a solution that has already been thought of - but it does not solve the underlying issue which is the lack of support for Unicode in CONVERT_TO_OTF - i.e. in SAP standard output handling.
As I discovered just after I posted the question (and thus updated it with a “PS“ at the bottom) this problem is also effecting e.g. long dashes, and that was in an item text which I can not influence.
If Unicode is not supported we have to work around the bullet issue and tell the users that they must be aware of the possibility of incorrect output. However according to the documentation I have come across Unicode *is* supported.
I was going to change the title of the original message, but it seems I can no longer edit it. Perhaps because it has been answered. A better title would have been “Unicode characters not output when output medium is 5 (send external)”.
I am marking this as answered and will post again with this more appropriate title.