convert(USING utf8_to_iso_8859_15) on Windows

Is this a documented phenomenon with the "convert" function? The first
result is what's expected:

SELECT convert('Gregoire' USING utf8_to_iso_8859_15);
"Gregoire"

But I don't understand the next result, when I put an acute accent over the
first "e":

SELECT convert('Grégoire' USING utf8_to_iso_8859_15);
""

(The output is an empty string.)

Likewise, whenever I enter a string containing non-ASCII characters, the
convert function outputs an empty string. Same results when I change the
conversion type from UTF8 to any other encoding which accepts those
non-ASCII characters... (When I try a conversion to an encoding that
doesn't accept the characters, I get an error message, and that's normal.)

My setup is as follows:
PostgreSQL 8.2.1 on WindowsXP
The database has UTF8 encoding.
SHOW lc_ctype; gives: "French_Canada.1252"

Is my problem related to Windows' lack of UTF8 support? I thought those
problems were solved with version 8.2...