I'm using English version of Windows 7 and English version of Excel 2010. I have tried entering Chinese characters using a Chinese input method to the caption in the properties windows of label, button, form and also directly copy and paste Chinese characters to the design window. Both ways work for me.
The fact that you see ??? instead of Chinese characters seems to me your Excel doesn't support Unicode but I believe it does. So, I really don't know why it doesn't work for you. The only suggestion I can make is go to Control Panel/Region and Language/Administrative and click on the button "Change system locale". There, you can select a language to display for programs that do not support Unicode. I don't know if this will help because I believe Excel doesn't need this but I'm running out of ideas.