In the case of the Windows operating system, the worst fact is that every single part of it behaves differently. Some parts display the path with a wrong encoding, but handle it correctly. A third-party app can display it correctly, but fails while trying to access any file. From what I remember, even the built-in PATH variable editor/manager goes through some arcane steps to display the letters in a wrong way, but getting them to work sometimes.
I can only imagine how much more pain it is for someone using any of the less widely-used writing systems or those with more advanced features compared to ASCII (Hebrew’s RTL, Arabic scripts mid- and final forms, etcetera).