unicode support vs native install

The Running & Installing PostgreSQL On Native Windows FAQ has an item on
not being able to use unicode

http://pginstaller.projects.postgresql.org/FAQ_windows.html#2.6

"/Because Postgres relies on the operating system for some string
related functions, the OS needs to support the same encoding as the one
that is used as the database encoding. Unfortunately, Windows does not
support some encodings that are available as server-side encodings for PG."

/My understanding is the 8.0 windows installer prevents istalling utf-8
but you can get around it with initdb if you know what your doing.
Apparently only some things related to utf-8 data will be broken like
sort ordering.
/
/Does this apply to Cygwin installs of PostgreSQL as well?

Thanks,

Eric