The COPY documentation says "COPY FROM matches the input against the null
string before removing backslashes".  It is therefore reasonable to presume
that null markers like E'\\0' will work ... and they did, until someone put
the tests in the wrong order during microoptimization-driven rewrites.
Since then, we've been failing if the null marker is something that would
de-escape to an invalidly-encoded string.  Since null markers generally
need to be something that can't appear in the data, this represents a
nontrivial loss of functionality; surprising nobody noticed it earlier.

Per report from Jeff Davis.  Backpatch to 8.4 where this got broken.