Looks like WordPress does rather poorly with internationalized domain names. I just tried adding such a bookmark, and WordPress ate all the non-ascii characters. I can change the URI directly from phpMyAdmin, but WP still refuses to display or link it correctly both in the Blogroll management and on the site.
(Sorry about the somewhat misleading title, but that’s how I went googling for the problem, so maybe someone else will, and can find a confirmation for their suspicions here.)