u یعنی یونیکد.
راهش اینه که بیایید و هر کدوم از کاراکترها رو جداجدا کنید و دی کد کنید.

function HexChar(Ch: char): Byte;
begin
case UpCase(Ch) of
'0'..'9': Result := Byte(Ch) -Byte('0');
'A'..'F': Result := Byte(Ch) -Byte('A') +10;
end;
end;

function HexWord(Wrd: string): WideChar;
begin
Wrd := UpperCase(Wrd);
Wrd := RightStr('0000' + Wrd, 4);

Result := WideChar(
(HexChar(Wrd[1]) shl 12) +
(HexChar(Wrd[2]) shl 8) +
(HexChar(Wrd[3]) shl 4) +
HexChar(Wrd[4])
);
end;

function UnicodeToStr(s: string): string;
var
lst: TStringList;
i: integer;
begin
lst := TStringList.Create;
lst.Text := StringReplace(s, '\u', #13, [rfReplaceAll, rfIgnoreCase]);
lst.Delete(0);

Result := '';
for i := 0 to lst.Count -1 do
Result := Result + HexWord(lst[i]);

lst.Free;
end;



مثال:

procedure TForm1.Button1Click(Sender: TObject);
var
s: string;
begin
s := '\uFEB2\u0635';

s := UnicodeToStr(s);

ShowMessage(s);
end;