ok, I see it in the Win Explorer now. But after some seeking I found that there is a TZipper property UseLanguageEncoding which, when set to true, writes the archive names in UTF8 encoding.
There is also a UseUTF8 property for the Unzipper, but I did not find it necessary to set it to true. Also, calling the SetMultiByteConversionCodepage was not required any more after activating the UseLanguageEncoding property.
Oh man - I think the paszlib wiki page in which zipper is documented needs a rewrite...