Custom fields names are incorrectly encoded while with standard fields everyting is OK. See the sample below, assignee value is encoded correctly while customfield_10040 is not.
Everything is also ok if one of the following conditions is met:
1) JIRA is working under Tomcat 4.1.30;
2) General Options/Encoding is set to UTF-8;

============
<?xml version="1.0" encoding="windows-1251" ?>

• <!-- RSS generated by JIRA 72 at Wed Nov 10 13:41:38 NOVT 2004
  -->
  ...
  <assignee username="admin">Администратор</assignee>
  <reporter username="admin">Администратор</reporter>
  <created>Wed, 6 Oct 2004 17:20:23 +0700 (NOVST)</created>
  <updated>Wed, 10 Nov 2004 13:31:09 +0600 (NOVT)</updated>
  <due />
  <votes>0</votes>
• <comments>
  <comment author="admin" created="Thu, 14 Oct 2004 00:00:30 +0700 (NOVST)" level="">aaa</comment>
  </comments>
• <customfields>
• <customfield id="customfield_10040" key="com.atlassian.jira.plugin.system.customfieldtypes:textfield">
  <customfieldname>Р'РѕСЃРїСЂРѕРёР- ведение</customfieldname>
• <customfieldvalues>
  <customfieldvalue>Проблема РЅРµ требует РІРѕСЃРїСЂРѕРёР- ведения</customfieldvalue>
  </customfieldvalues>
  </customfield>
  </customfields>