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Some special functions with complex domain are provided through external libraries. If your copy of gnuplot was not configured to link against these libraries then it will support only the real domain or will not provide the function at all.
Functions requiring libcerf (http://apps.jcns.fz-juelich.de/libcerf) depend on configuration option --with-libcerf. This is the default. See cerf, cdawson, faddeeva, erfi, VP, and VP_fwhm.
Complex Airy, Bessel, and Hankel functions of real order nu and complex arguments require a library containing routines implemented by Douglas E. Amos, Sandia National Laboratories, SAND85-1018 (1985). These routines may be found in netlib (http://netlib.sandia.gov) or in libopenspecfun (https://github.com/JuliaLang/openspecfun). The corresponding configuration option is --with-amos=<library directory>. See Ai, Bi, BesselJ, BesselY, BesselI, BesselK, Hankel. The complex exponential integral is provided by netlib or libamos but not by libopenspecfun. See expint.