I checked and Arial does seem to include it. However it's still not showing up.
Here's the code I have now:
sf::Font Font;
sf::Uint32 CharSet[] = {0x221E,0x0};
Font.LoadFromFile("arial.ttf", 30, CharSet);
...
AmmoText = sf::String(sf::Unicode::Text(L"\u221E"), Font, 10.f);