Hi,
The exported CSV file displays the letters properly on my end. It must be the tool/options that you use to display it which are not correct. I'm using OpenOffice Calc on my end.
Also, if you don't want all the columns but only the ones you need, you could instead create a new mass action via the menu System>Mass actions. Simply set it of the type "order" with an action "export a CSV" and select the columns you want and when you click on "process" you'll get a similar CSV but only with the columns you want.