This the case for any channel with \, /, :, *, ?, ", <, > or | as well.
This means that you can have any channel/query window logged.
PARTS of the name will be converted \ / : * ? " and | as they are (According to windows) invalid name characters. Why? Because windows uses these characters. How?
Documents and Settings\
And also in DOS prompt. C: dir ? blah | bleh etc...
You can simply name your channel #๑۩۞۩๑ and you WILL find #๑۩۞۩๑.log as windows will not complain about these characters.