Schematics and PCB don’t support external fonts, unfortunately. KiCad does have proper Unicode support, but it still cannot display anything that doesn’t exist in its own font.
Adding the CJK set to KiCad’s font would likely be a massive undertaking, of similar magnitude to adding support for external fonts. I’m personally in favor of the latter. I hope we can get some developers interested in that, because you raise a very good point - for the sake of language support, external fonts are very important.