Danish characters i R2.0.1 vs R1.9.1 under winXP

The same is true in french under linux.

No, it is not the same.  Windows XP does this even in the Danish locale, 
and that is a problem (in Windows).

Your problem is simply that you should be using a French locale to use 
French characters.  You should not expect French characters to be 
recognised in a non-French locale, and if they were, that was a bug in R 
1.9.1.