Windows (itself, not MESS's Windows OSD layer) doesn't support Unicode in terminal windows very well (it's a bit better in 7 I believe). I wanted to make it work for command-line M1 and the MS documentation said pretty much "don't even try".
Linux/BSD are UTF-8 compliant top-to-bottom, as Barry demonstrated. OS X is somewhere in between
Also, MAME/MESS are fully Unicode; I don't understand eta's "marginal way", because it's simply not true.