WordPress MU

Hi.
I am Japanese and found something strange about date format.
My date format setting is default; e.g. F j, Y. And i'm using ja_UTF.mo as the language setting.
With this setting it should be returnd Japanese weekday name with multi byte Japanese characters, but actually it is only garbages which are returned.
But when I change the date setting to for example "j, y F", I get japanese weekday name collectly. I don't know if there is the same problem in another multibyte languages.
Is there anyone who has a good tips?

Sorry, not weekday name but month name.
thx.