Conky is fine with the ° symbol, it's the metadata that accompanies it dependant on the source symbol location and the method used to transpose it into the conky.conf file.

Try the workaround I posted above, I actually recall using Wordpad in W7 and trying various fonts to get the effect I needed without digging too deep into the metadata - and then found out it was this that caused the issue and not the original source file or font.