I don't know why dead keys don't work in gvim.
But consider using the compose keys instead of
a dead key. Personally, I find the dead-key painful
to use for common characters. I prefer the compose
key which also allows to type many other characters.
I use xfce4 and in keyboard setting, I use:
* keyboard layout: English (US, Euro on 5)
* compose key: Left win
The same settings must exist in other windowing
environments than xfce4.
And to type a character like é for example I do..
Left-Window key + e + ' (that's 3 key strokes
without pressing them at the same time).
To type ê, I do: Left-Window key + e + ^ (etc.)
That works fine everywhere, including in
gvim or vim in terminal.
Regards
Dominique