Caps-lock off please, using all Capital Letters is considered "shouting".
However your Chinese characters are represented, they are only bytes of data. If bytes of data are not appearing on a VSAM record, then the most likely thing is a program bug. There is also a possibility that they are there, but you cannot "see" the values. Try lookig at the data on the record in HEXadecimal. Another thing you can try is to, as a test, write a little bit of plain text in English alongside the Chinese. If you can see the English, the Chinese is there as well.