Thanks Ethan,
sorry, actually, I didn't mention that the code and path was created by Python and sent via pipe to gnuplot.
So, I guess using an additional line explicitely setting utf8 encoding was probably the "trick".
Standard encoding apparently was cp1252.
set encoding utf8
plot '//server/blabla/XXX/blabla/XXX/datafile.dat' u 1:2
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