Caption >> %M << UTF-8 issue with the month march in german

Hi

I have an UTF-8 issue displaying the month March as "März" in german.
I use default Mac OSx Terminal as well as Putty. Putty is configured for 
UTF-8 ... yet I get funny characters for the umlaut "ä" on both Terminals.

root@Host [~]$ locale
LANG=de_DE.UTF-8
LC_CTYPE="de_DE.UTF-8"
LC_COLLATE=C
LC_TIME="de_DE.UTF-8"
LC_NUMERIC="de_DE.UTF-8"
LC_MONETARY="de_DE.UTF-8"
LC_MESSAGES="de_DE.UTF-8"
LC_ALL=

root@Host [~]$ screen -v
Screen version 4.00.03 (FAU) 23-Oct-06

root@Host [~]$ cat ./.screenrc
[...]
defutf8 on
[...]

Any idea what causes this issue?