How are you viewing the CSV file? Assuming the output is UTF-8 (which should be the case unless you've instructed Splunk to use a different character set for this source), you might need to tell Excel to use UTF-8 when you open the CSV. http://stackoverflow.com/a/6488070 has some instructions for this.
If you are opening it with another application, make sure that it supports and recognizes the character set that the data is in.
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