With the latest version of WP, it now no longer seems to replace some scandinavian characters in the auto-generated post slugs.
The character å still seems to get replaced with a, but the characters ø and æ seem to be used as-is in the post slugs now. It didn't use to be like this.
This is very inconvenient, as it makes for bad or ugly URIs (see example above). I hope this is just a mistake that can be corrected and not an intentional change.
(Using WP 2.8.5, but there was no option for selecting that yet.)