It seems possible that calling the Windows API function _setmode with constant _O_U8TEXT on stdin and stdout (detected using either _isatty or GetConsoleMode) might fix the problems in CQP's UTF-8 display and input under the Win32 console.
See:
http://msdn.microsoft.com/en-us/library/tw4k6df8%28v=vs.100%29.aspx
http://blogs.msdn.com/b/michkap/archive/2008/03/18/8306597.aspx
http://alfps.wordpress.com/2011/12/08/unicode-part-2-utf-8-stream-mode/
This should be investigated. In particular, are these functions even available when compiling under mingw?
Recurring discussions on the R Mailing List suggest that this issues cannot be resolved unless the entire I/O is routed through a Windows-specific API. Microsoft just refuses to provide reasonable support for UTF-8.