I encountered this issue lately when I decided to increase the security of my Macbook Air (Early 2015) running the latest version of El Capitan (10.11.3). I'm not sure if this issue is relative for other models and/or operating system versions.
I used rather strong password with multiple special characters and since the password is confirmed by typing it twice as usually, I was pretty comfortable that I typed it correctly. My default and only keyboard layout I use with Mac is Finnish layout and this Firmware password was also written with that layout.
However when I tried to boot to my Windows installation and I was prompted with the password it never worked and I didn't get any indication of the problem. Just new password prompts.