This wiki article says:
As of Lazarus 0.9.28 the Windows and Windows CE interfaces support Unicode fully.
Well, things like "Memo.LoadFromFile" will result in a runtime error if you'll try to load a file named like this: "ファイル.txt" Also, you just have to look at the code for "FileOpen", "CreateFile" and many other functions to clearly tell that they won't work with Unicode file names.
All tested with todays nightly build.
I hope it means that 0.9.28 is not quite there yet and by the time it's ready all these issues will be solved.