Therefore, it seems this experiment might be worth trying: in a
terminal window, do

export LANG=pt_BR.UTF-8

then try "locale" again and see if LC_ALL appears set.

I did these procedures but LC_ALL remains the same (blank).

(...) try starting gretl from the terminal, using the shell script named
"gretl" in Gretl.app/Contents/Resources/bin . Do accented
filenames then work? If so, the problem is associated with no
value being given to LC_ALL.

I did these procedures and the accented filenames had worked. But I'd noticed that when I open gretl using the icon (with double click) it starts the Portuguese version (from Portugal), while using the command line "Applications/Gretl.app/Contents/Resources/bin/gretl" I get the Brazilian-Portuguese version.

I also tryed to work with accented filenames using Windows XP and gretl worked fine.

Henrique