Because you have not implemented it for your text widgets.
X does not provide a "unicode hex entry" subsystem. So handling entry
of unicode via typing the hex code is left up to the individual
applications to implement.
Most of them use a gui toolkit (GTK or QT) and this keystroke is
probably part of the library, so it comes along for free for the
individual apps.
Tk is its own 'gui library' and it does not build in a "enter hex of
unicode code point" feature. So you have to add it on yourself.