if the string "U+03C0" (or "0x03C0") is entered, then I want the string "0xCF80" to be printed (without quotes).

use Encode qw( encode_utf8 );

s{
   ^ U\+ ( [0-9a-fA-F]+ ) \z
}{
   "0x" . uc(unpack("H*", encode_utf8(chr(hex($1)))))
}xe;
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1. chr(hex($1)) gets a character with the specified value.
2. encode_utf8(...) encodes the code point.
3. uc(unpack("H*", ...)) converts the byte sequence to hex.

If the string "0xCF80" is entered, then I want the string "U+03C0" (or "0x03C0") to be printed (without quotes).

use Encode qw( decode_utf8 );

s{
   ^ 0x ( (?: [0-9a-fA-F]{2} ){1,4} ) \z
}{
   sprintf("U+%X", ord(decode_utf8(pack("H*", $1))))
}xe;
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1. pack("H*", $1) gets a string of bytes with the specified values.
2. decode_utf8(...) decodes to a code point.
3. sprintf("%X", ord(...)) converts the character to hex.