It's something weird in your setup, or it's a version of the sqlite shell tool you've compiled specially, with options that aren't working on your setup.
<code>simon@190 ~ % bash
The default interactive shell is now zsh.
To update your account to use zsh, please run `chsh -s /bin/zsh`.
For more details, please visit https://support.apple.com/kb/HT208050.
bash-3.2$ uname -rs
Darwin 20.4.0
bash-3.2$ sqlite3 ~/Desktop/temp.sqlite
SQLite version 3.32.3 2020-06-18 14:16:19
Enter ".help" for usage hints.
sqlite> select x'c3a1',hex('á');
á|C3A1
sqlite> .quit
bash-3.2$ </code>
No problems. To type the accented a I used the method described upthread: hold down the option key while typing 'e', then type 'a'. Use that method. Don't bother testing again using the method of alt key and then typing hex characters. That's a non-standard way of entering characters on a Mac and people will find it difficult to reproduce your problems.