Hi Rupp!
There is an APAR for this problem: APAR IC19737.
Here is the text:

APAR NUMBER: IC19737            RESOLVED AS: PROGRAM ERRORABSTRACT:
IC19737: ADSM V3 CLIENT FOR NT (INTEL) GIVES INCORRECT FILENAMES IN CLI
W
HEN NLS CHARACTERS ARE USED. UNICODEFILENAMES IS SET TO OFF.ORIGINATING
DETAILS:
When trying to restore files using the Version 3 ADSM Client for
windows NT (US-English version) files that use characters that
are not in the US Codepage (french accented characters, german,
 ...) are incorrectly represented in the Command Line Interface.
You can see the filenames using the -Pick option or the Q BACKUP
command.
The codepage of the NT machine must be set to something else tha
n US (for example Belgian, German, ..).
USEUNICODEFILENAMES OFF is in the DSM.OPT file.
LOCAL FIX AS REPORTED BY ORIGINATOR:
The problem does not appear when using the GUI.RESPONDER SUMMARY:
****************************************************************
* USERS AFFECTED: Windows NT client users                      *
****************************************************************
* PROBLEM DESCRIPTION: Filenames with international extended   *
*                      characters (vowels with umlaut, etc.)   *
*                      are not displayed or processed correctly*
*                      in the NT English command line client.  *
****************************************************************
* RECOMMENDATION: Use the GUI until the csd is available.      *
****************************************************************
RESPONDER CONCLUSION:
The NT console runs and displays in the OEM codepage, whereas
the filesystem APIs and all GUI applications run in the
ANSI codepage.  Some extended characters map to different
code points in the different code pages.
An OEM to ANSI conversion is now performed on these extendedcharacters.
TEMPORARY FIX:Use the GUI.CIRCUMVENTION:Use the GUI.APAR INFORMATION:
Reported to correct a PTF in error:     NO
Reported as a highly pervasive problem: NOPE Apar?:       NoPE
HIPER Apar?:    NoHIPERStatus:         CLOSED  PERComponent Name: ADSM
CLIENTS
Version:        31DComponent ID:   565511902Submitted:      97/12/30
Closed:         98/07/27Last Modified:  98/07/27ChangeTeam:     SJ0291
FIX INFORMATION:Reported release thought to contain the error: R31D
The fix for this APAR was not found in database.Applicable Component
Levels:
R31D PSY         UPR31E PSY         UP