Problem copying files with unusual characters in their names to the Galaxy S4 SD card but not to the phone
Yeah you´re right. The problem is caused by the file system of the SD card. Probably you use FAT32 as file system of your SD card which is using the OEM character set (Read more). And the OEM set seems to not contain some characters you need as you found out.

So you need a different file system on your SD card which is using UTF-8 character set (NTFS on your lapto does, and also the internal memory of your phone supports it (which could be an ext like ext4). 

But the best cross OS supported file system should be exFat. As you can see in the Wikipedia entry it supports UTF-16 character file names (just a variation of UTF-8). Also with this file system you have the ability of storing files bigger than 4GiB, which is not possible on FAT32.

So backup your files and format your SD card with the program of your choice (you can use even the basic windows integrated formatting tool). Then the problem should be gone.