> On Windows Vista, I do see that print() behaves differently than
> evaluating the expression. An exception is raised for:
> print('\N{GOTHIC LETTER AHSA}')

As is for most other characters not supported in your OEM code
page, e.g. (likely) '\N{GREEK SMALL LETTER ALPHA}'

> On Linux, I see the character print as ? in xterm and as a '?' when
> evaluated. In gnome-terminal (Ubuntu Mono font) it prints as a box
> containing the code point in hex. No exception is raised.

That's because your terminal output encoding is UTF-8. If you change
your locale to C, or any other locale that doesn't cover full Unicode
(e.g. de_DE.ISO-8859-1, if supported on your Linux installation),
you get the same behavior on Linux as you do on Windows.

> Given that Windows and Linux (Ubuntu) behave differently

That's not a given, see above.