People are claiming that xmessage does not support unicode utf-8, or that you should switch to some gnome crap instead. Try specifying the resource *international: true and it will work as advertised. (You might still have to set up your...
For some reason it seems to be non-trivial to get Unicode to work in console apps, so I decided to make an illustrated guide about Irssi, PuTTY and GNU screen. Hope it helps. Note: you needn’t be using GNU screen...