\font\cmu=cmu10 at 10pt \cmu π
and try again but nothing changed, it still complains
Missing character: There is no π in font cmu10!.
I also tried the ecrm1000 font as advised by this answer regarding xetex.
The solution of downloading a different(?) computer modern unicode font is not acceptable because it requires installing the fonts into an OS font directory with root permissions, and I will only use default fonts, or fonts that can be included along side the source tex file.