I don't think any version supports this because åäö are not "url friendly" (will be hex encoded by the web browser) and would severly mess up the url into something not so friendly.
The use of international characters in a URL is currently not supported in EPiServer CMS. We need to fully implement RFC 3987 (international characters in an IRI) and should probably support RFC 4690 (international characters in host names) as well. We have also seen some compatibility issues with IIS that we need to handle.
We have this on our agenda, but I cannot say when this will be implemented.
For a good background on the technical issues, see http://www.w3.org/international/articles/idn-and-iri/
Swedish chars åäö inside the friendsly url EPI Server 4? Doesn't this functionality exist in EPI server 4 or to which version do we have to upgrade to get this?