I tried compiling the latest git head with ECL_UNICODE=1 ECL_THREADS=1 ECL_DEBUG=1.
I found that using ECL_UNICODE caused ecl_min to fail, which aborted the build process. I traced through this problem and ended up with the patch which I have added at the patch tracker with ID 2796465. I am new to ECL, so I hope the patch is reasonable. While this allows ecl to build and boot, the unicode support itself still seems broken on windows, unless I am doing something very wrong.
On a different note, I found that I got a 'not a lisp object' error on initializing CLOS. I took a few random stabs in the dark and found that reverting this change fixes it: http://ecls.cvs.sourceforge.net/viewvc/ecls/ecl/src/clos/standard.lsp?r1=1.50&r2=1.51
I have no idea why reverting this change works; I couldn't make sense of what was happening in the debugger.