The MySQL client program is odd with character sets, to put it mildly---it silently defaults to Latin1!
If you invoke it with no charcter set argument, or with something like --default-character-set=utf8mb4, it often still elides multibyte characters.
But if in Windows you set its code page to UTF-8, or in Linux you invoke it with --default-character-set=auto, it sets its charset to match its environment, and usually handles multibyte chars correctly.