Is it possible to export locale variable upon login to SSH server? If so, you could add an extra option to WinSCP like "Run these commands upon login" where we could enter:
export LANG="ru_RU.CP866" or export LANG="ru_RU.UTF-8" and enjoy "good" file names.
It is not possible with SFTP :-(
However most SSH servers launch some kind of startup script on login. You can set the variables from there. Typically it is script associated with your default shell, because SFTP server is usually run via default shell.