I don't know which characters cause a problem, or if it is all non-latin ones, but if you stick to the standard A-Z/0-9 (no accent, grave, acute, etc modifiers) then you should be fine.
That might be an issue with the demo just not saving settings, though, rather than a bug with the game code. Someone else mentioned the demo not saving graphics or sound settings (the bug in the full game just occurs for graphics settings).
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