Hello DQ,
I can confirm that you can't set the destinationUrl of a keyword to
something containing the ü character. However, this behavior is
identical to the behavior from the AdWords web interface--attempting
to do that from the web interface leads to the same "These characters
are not allowed: ü" error message. Considering that this behavior is
identical I'd have to assume it's intentional and AdWords legitimately
does not support that character in URLs.
I'm not sure how some keywords could have been added via the AdWords
Editor that violated this, as the same rules should apply there.
Perhaps this was a recent policy change, although I don't recall
hearing anything about it.
Cheers,
-Jeff Posnick, AdWords API Team