Does anybody have any idea why is Microsoft doing this? Why can't it render the font as Lucida and instead chooses Arial if the typeface has the characters?


This is presumably due to RichEdit's font fallback mechanism. I'm guessing there is some piece of metadata missing in the Lucida font that RichEdit is looking for as an indicator of support for particular Unicode ranges. So eveb though the font contains cmap support for the characters you want, RichEdit is switching to a fallback that it knows supports them. Yes, 'tis frustrating.
The font switching is something that happens at text input time. You should be able to select all the text you have input and apply the font you want, and it should work correctly. Also, you should be able to input text in a plain text editor and then paste it into WordPad with the font set as you want.
Captured from web.archive.org on 4 Aug 2014. view this capture