Thank you all. No need for a bug report.
I've figured out how to set the locale for Windows:
You have to set LC_ALL as an environment variable.
a.) Either permanently like described here:
http://www.nextofwindows.com/how-to-addedit-environment-variables-in-windows-7
b.) or as part of a DOS batch:
SET LC_ALL=en_US.UTF-8
gawk -f celine.awk
(Strange, I was shure I have tested the last one before starting this post.)
Now length of "Céline" is 6. I have to test a bit more but I think it works.
If so, IMHO Eli's version is the best for Windows (even better than Cygwin).
One last question, please:
Is this native UTF-8 support or kind of ICONV mapping?