WinSCP handles the file name correctly, imo.
So it must be the server. Maybe it does not support UTF-8.
Try setting raw session settings
https://winscp.net/eng/docs/rawsettings
Use
        So it must be the server. Maybe it does not support UTF-8.
Try setting raw session settings
Utf to "0" (off).
https://winscp.net/eng/docs/rawsettings
Use
$RawSetting parameter of New-WinSCPSession.