zsh seems to autocomplete non-printable characters by representing
them as something like $'\377', but then it fails to understand them
when autocompleting one further level of directories.

For example, suppose we start in an empty directory (/tmp/test, say)
and use no config file at all (cd /tmp/test; HOME=`pwd` zsh), just to
make sure we load only the base completion module: then try

% export LC_ALL=C
% mkdir "`/usr/bin/printf 'x\\377z'`"
% touch "`/usr/bin/printf 'x\\377z'`"/corge
% cat x$'\377'z/

It will complete so far (if you type x<TAB>, it completes to
x$'\377'z/ as shown above), but no further (the "corge" part never
appears).

x$'\377'z is getting munged to "x$\\377z" and then matching
[^][*?#^\|\<\>\\]#(\`[^\`]#\`|\$)*/* in _path_files.