My experience with Hebrew in R plots is as follows -
1. A PDF plot with Hebrew on Windows can be produced with CairoPDF (package Cairo) after setting Sys.setlocale("LC_ALL", "Hebrew"). The regular PDF device turns characters to dots, as Ron pointed out. However the text characters order is reversed (!). The struggle with manual reversal of characters in each plotted text was my main reason for moving to Linux.
2. On Linux (Ubuntu 14.04 & 16.04), Hebrew PDF plots are produced with the basic cairo_pdf without any adjustments. Rnw reports with Hebrew (either in plots or regular text) also work in HTML output, but not PDF output. I guess this is a LaTeX issue.
If someone discovered other solutions will be happy to hear :)
Thanks,
Michael