Txortx is correct that you are supposed to be able to use strings like this. Consider the feature file name table strings:
nameid 0 "Copyright \00a9 ...";
nameid 0 1 "Copyright \a9 1986,..."
Are you using the right format for the right platform? Remember, as Txortx noted, the Windows platform strings are Unicode values, and special characters need to be specifed as a 4 digit hex number, e.g "\00a9". The Mac platform strings are single-byte Mac encoded ( according to the language specified - Mac Roman is the default) , and special characters need to be specified as a two-digit hex number, e.g "\a9". We use such characters specofocations a lot, although I havem't ever tried putting in a new-line. Also, I thinl that the feature file parser is very narrow-minded, and doesn't take uppercase hex digits.