I think it depends on the underlying filesystem. Unicode (UTF-16) is first-class on NTFS.
But Windows still supports FAT, I guess, where multiple 8-bit encodings are possible: the so-called "OEM" code pages (437, 850 etc.) or "ANSI" code pages (1250, 1251 etc.). I haven't checked how recent Windows versions cope with FAT file names that cannot be represented as Unicode.