You have to set your locale to japan, and reinstall UTAU
That would not work as UTAU isn't the program at a fault.
Vocaloid 2, to my memory, saved files in ANSI of the system on which it was created. When they are imported back into the editor, there is an option to choose the encoding type so that the file can be opened correctly. If you chose the wrong encoding, you'll either end up with mojibake.
UTAU doesn't have the luxury such that it can choose which encoding to load vsqs in. Whatever the vsq is encoded as, is what UTAU will load it in. As a result, kana vsqs come out be garbled as the files were not encoded in Shift-JIS. Also, UTAU doesn't support the loading of UTF-8 to my knowledge unless it's oto files.
Also, this happens with kana usts that are converted to vsqs and then sent to Vocaloid, which shows it could be a problem more than mere encoding issue.
Correct me if I've said anything incorrectly.