No, this means nothing to a UTF-8 system.
A UTF-8 system does not know that these bytes mean a russian encoding.
It you want to convert it, you have to do it explicitely:
uses LConvEncoding;
...
s:=#$F4#$FB#$E2#$E0; // prepare an ansi string: 4 chars that are >#128
s:=ConvertEncoding(s,'cp1251','utf8');
showmessage(s);
It may work on Windows, when the system encoding is cp1251, but not when it's UTF-8