Hi and welcome to the Forum!
Several things could be going on. First is I don't know how your tree survived this long without fertilizing:
Fertilizing a Bonsai is essential to its health because nutrients in the soil are washed away with each watering. Fertilizer is like vitamins and minerals for a plant. When new growth appears in the spring, itâ€™s time to start feeding your Bonsai. Use an organic liquid fertilizer or a chemical fertilizer diluted to one half strength. Most Bonsai should be fertilized once or twice per month during the growing season and once a month in the winter. Water your tree BEFORE fertilizing. DO NOT FERTILIZE A WEAK OR FRESHLY REPOTTED TREE! This will cause stress to the tree by burning the roots.
You have been washing away all the nutrients and there aren't very many to start with in such a tiny amount of soil in a bonsai pot. The more soil a plant (any plant) is in the better it can take care of itself -- put a tree in the ground and you don't really need to fertilize it at all. Move the same tree into a large tree container and you have to fertilize it once or twice a year as the soil it is in gets depleted. In a bonsai pot, it is mostly dependent on you and needs regular fertilization as above. And the ultimate in that progression is soil-less, hydroponic growing, where whatever you are growing is completely dependent on you and needs continuous fertilization.
You said you have been watering by immersion, but you didn't say how or how often. Usually people just put the pot in an inch or two of water and let it sit for a few minutes. Sometimes they put it in water just up to the level of the soil. If you have been putting it in water any deeper than that, so the trunk is in water, you have been drowning it. After watering, then you have to let the water drain back out and then don't water again until the top part of the soil is drying out. And yes, the less your tree is growing, the less leaves it has, and the less light it gets, the less frequently it should be watered. Moss on the soil and roots from the trunk are indications of it staying too wet. (See my notes about soil below)
So your tree has been indoors the whole time? Do you mist it? Indoor air is very dry, ESPECIALLY in winter when the heat is on. Houseplants generally and your chinese pepper for sure, benefit from daily misting of the leaves. Chinese pepper trees need bright indirect light. Your window, depending on how it faces and what is around it, might be either too much or too little light (or even both - if it gets a few hours of intense direct sun, that could be too intense and still not be enough hours of light). I think indoor trees in winter with less hours of sun and more cloudy days etc, should really have some artificial lighting, but that has to be a dedicated lamp just a few inches above it.
https://www.bonsaimary.com/images/Jack-W ... xample.jpg
In general we say don't fertilize a tree that is struggling, but since your tree is likely struggling at least partly due to lack of nutrients, my suggestion would be to fertilize it with half strength liquid fertilizer now and then once a month after that until it is healthy again. In the spring, it should be root pruned and re-potted in good bonsai soil. I'm guessing yours is probably in something more like potting mix, heavy in peat moss, which holds too much water for too long. Bonsai soil is very loose and free draining and mineral.
Hope this helps. Keep us posted with how your tree does. Pictures always help and letting us know what part of the world you are in....