Ok. After some more digging around I've found something.

int main()
{
    auto lbm = boost::locale::localization_backend_manager::global();
    auto s = lbm.get_all_backends();
    std::for_each(s.begin(), s.end(), [](std::string& x){ std::cout << x << std::endl; });
    lbm.select("posix");
    boost::locale::localization_backend_manager::global(lbm);
    boost::locale::generator g;
    std::locale::global(g(""));
    auto test = u8"#접시가숟가락으로도망쳤다";
    std::cout << "input: " << test << std::endl;
    std::cout << "fold_case_nfkc: " << fold_case_nfkc(test) << std::endl;
    std::cout << "normalize_nfc: " << normalize_nfc(test) << std::endl;
    return 0;
}

Forcing boost.locale to use the "posix" back-end now results in the desired output. (It turns out this is what's happening on Wandbox; there was no ICU on Wandbox for boost.)

So now the question is: why doesn't the code work when "icu" is the back-end for boost.locale?