Windows has no idea about UTF-8, especially not in console mode. But that does not 
mean the data you are echo'ing is not correct UTF-8.

"Windows has no idea about UTF-8"
Are you serious?!!
C function WideCharToMultiByte(CP_UTF8,NULL,native,-
1,encoded,sizeof(encoded),NULL,NULL) does encode as UTF-8.

printf("%s",encoded) does output correct things within a rightly configured 
terminal, just like you do under Linux.

PHP does not.

The operating system runtime has no idea about UFT-8, in its shell, its file name 
encoding, etc.

Its internal APIs obviously provide UTF-8 conversion function (or other).

Secondly, as I said earlier you have to do the conversion manually as PHP does not 
use the WildChar APIs.

Ok I think I understand what you mean. Windows does not handle strings as UTF-8 
internally. I'm OK with that, so does Linux. It really does not matter as long 
you use correct encoding/decoding.

Under Linux, I can name a file eï.php and call "php eï.php". It will execute 
that file (assuming locales are UTF-8).
Here is an illustration:
# echo "<?php echo \"ï\n\";?>" > eï.php
# php eï.php 
ï
# locale
LANG=fr_FR.UTF-8
LC_CTYPE="fr_FR.UTF-8"
LC_NUMERIC="fr_FR.UTF-8"
LC_TIME="fr_FR.UTF-8"
LC_COLLATE="fr_FR.UTF-8"
LC_MONETARY="fr_FR.UTF-8"
LC_MESSAGES="fr_FR.UTF-8"
LC_PAPER="fr_FR.UTF-8"
LC_NAME="fr_FR.UTF-8"
LC_ADDRESS="fr_FR.UTF-8"
LC_TELEPHONE="fr_FR.UTF-8"
LC_MEASUREMENT="fr_FR.UTF-8"
LC_IDENTIFICATION="fr_FR.UTF-8"
LC_ALL=

Doing the same under Windows (having the cmd.exe use chcp 65001):
c:\>chcp 65001
Active code page: 65001

c:\>type eï.php
<?php echo "ï\n";?>

c:\php eï.php
��

The "type" command is able to decode characters. Windows terminal handles UTF-8. 
You just have to activate it. Just like Linux.

If I change the script to :
c:\>type eï.php
<?php echo "A ï in a string\n";?>

c:\php eï.php
A ï in a string

So it seems it fails under certain circumstances. 

This is a simple example.
My goal is to call (using proc_open() or similar) a program that takes unicode 
parameters. I cannot convert those parameters because they are file paths that 
contain multilingual characters. A mix of several languages in a string that 
makes impossible to code that on 1 byte. If I make an UTF-8 batch and call it, 
no problem, the program handles unicode and does its job. Using proc_open() or 
similar, characters are decoded the wrong way. Generating the script to a file 
and launching it from filesystem is not acceptable because the PHP program I'm 
working on needs performance.

I'm working on interresting articles like 
http://stackoverflow.com/questions/2706097/how-to-do-proper-unicode-and-ansi-
output-redirection-on-cmd-exe. It could be a Windows bug.

I'd really like to work on Linux, but the project launches Windows tools :/

<?php
$data="ąęćńś";
fwrite(STDOUT,$data."\n");

?>

this not works!