How does the "Unicode Hex Input" input source work? How can I enter a character using that input source? I tried entering a tab character with ⌥+0009, but I didn't get anything. Viceversa, with ⌥+9999, I get 香.  

Am I doing anything wrong, or doesn't the input source allow to enter control codes? 

I tested those codes on Firefox 4.
You are right by pressing Option ⌥+0009.

My guess would be that Firefox, like many browsers, doesn't like tab characters (especially with forms). Try in TextEdit; it should work there.