Can the "dialog"-program be set to use Norwegian/Scandinavian characters somehow? Like Æ Ø Å æ ø å?

It's weird if such an old, well documented program doesn't support this, isn't it?

Actually it's quite the opposite in my experience. Older programs like this were written before unicode became widespread enough to need supporting. It's when newer programs don't support it that I get surprised.

I don't really know anything about dialog. In fact, I only discovered it yesterday when I wanted to include a pop-up in a script I created. I wonder if it might be possible to use another character set that does handle those characters though. Perhaps changing the language variable of the shell it's running in will do something?

Edit: I just ran a quick test of dialog --msgbox with the characters you posted and it displayed them correctly. And I'm running $LANG=en_US.UTF8. It also works with Japanese. Xdialog can also handle the former, but not the latter, it seems. So I don't know why it isn't working for you.