MathJax will insert a unicode character reference for the needed glyph, and will uses the font specified in the output jax's unknownFamily configuration parameter. The default is "serif", but if the character is not available in the default serif font for your browser, most browsers will look for it in other system fonts, and which one is used depends on the browser and OS. You can change the unknownFamily configuration to be any list of fonts you want, e.g., include
window.MathJax = {
chtml: {
unknownFamily: "Cambria, serif"
}
};
in your MathJax configuration. This is for version 3, as that is the documentation you have cited.
See the documentation at
for more.
Davide