Slack's formatting covers most needs
For everyday emphasis, use Slack's own formatting: the toolbar in the message box, or the shortcuts *bold*, _italic_, ~strikethrough~ and `code`. That formatting is searchable and read correctly by screen readers.
Unicode styles are for the rest: a small caps heading in an announcement, a script word in a celebration message, or a styled status. They paste in like normal text and look the same to everyone.
Names and statuses at work
A display name or status is seen by everyone you work with. A styled status, such as a small caps "Out of office", is easy to spot in a busy sidebar.
Display names are different: colleagues need to type your name to mention you, and Slack search matches plain letters. If your workspace has naming rules, follow them, and keep at least your first name plain.