I use the ExternalData Extension to query data from my MSSQL Database (mediawiki itself runs on mysql).
SQL Selects with special german characters like äöüß dosn't work, the string get craped.
I insert the line

$connectionInfo['CharacterSet'] = 'UTF-8';

into the file ".\includes\db\DatabaseMssql.php" for the function "open" (for me it is on the line 110).
This fixes my problems with the Data-Select.
There is actual no option for activation of UTF-8 so maybe you can insert an parameter or change the connection to UTF-8 (which is in my oppinion the most needed configuration)

In my Situation i write these question (the character ü goes craped and i get no response from database)

{{#get_db_data: |db=name_of_db |server=name_of_server |from=name_of_table |where=Country='Türkei' |data=...}}