Hi,
The filename support depends upon the zip engine that the zips are being created with.
The default zip engine - /usr/bin/zip - supports UTF8, provided that the webserver does. So does PHP's built-in ZipArchive. If you have neither available, then it falls back to PclZip. PclZip does not natively support UTF8, but you can use a special script (it's somewhere in this forum... I can find it if you can't...) that fixes the filenames upon unzipping.
So, I recommend looking at the log of the backup to check which zip engine is being used. If it's one of the first two, then probably the backup is fine and you're having a problem with your unzip tools.
David