Hi Naveen,
Frankly speaking I've not done this before for any project. But screening works for chinese and japanese.
You will have make sure your comparison procedure is assigned with respective language key in which you need the comparison to happen.
SAP Compliance Management->Sanctioned Party list screening->Define Control procedure for address comparison.
Here you can give the language for comparison.
But I am not sure how will you compare chinese partner with Latin SPL data. You need to have the SPL data also in Chinese or the partner in Latin.
Regards
Dhilipan