What is wrong with my use of "find -print0"?

The problem is not in find, but in how you're creating this directory. The single quoted string 'foo\n' is actually a 5-character string, of which the last two are a backslash and a lowercase "n".

Double-quoting it doesn't help either, since double-quoted strings in shell use backslash as an escape character, but don't really interpret any of the C-style backslash sequences.

In a shell such as bash or zsh, etc. (but not dash from Debian/Ubuntu), you can use $'...', which interprets those sequences:

$ mkdir $'foo\n'

(See bash's documentation for this feature, called "ANSI C Quoting").

Another option, that should work in any shell compatible with bourne shell is to insert an actual newline:

$ mkdir 'foo
'

That's an actual Return at the end of the first line, only closing the single quote on the second line.

Let's make a directory named foo plus a newline:

$ mkdir $'foo\n'

Now, let's use find:

$ find .  -print0 | od -c
0000000   .  \0   .   /   f   o   o  \n  \0
0000011

\n is not escaped.

The issue is that mkdir 'foo\n' is the name is interpreted as foo followed by \ followed by n. We can verify that with:

$ printf '%s' 'foo\n' | od -c
0000000   f   o   o   \   n
0000005