See Preferences ==> Saving books to disk
Uncheck the option "Convert non-English characters to English equivalents".
As for the underscores, calibre will always replace filepath-unsafe characters with an underscore. One of those unsafe characters is "period at the end of a pathname component".
The OS/filesystem may allow a pathname component ending with a period to be created, but Windows can and will do some
seriously funky things when you do.
(The Win32 API has Issues with a capital I. Officially, you Cannot create filepaths ending in a period, and if you try Windows will simply create it without the period. But there are hacks to circumvent that -- Cygwin is one -- and then your troubles start, because all the usual ways of dealing with those filepaths will choke hard on it.)
calibre does what it does for good reasons. And there certainly aren't any bad side effects when replacing that period with an underscore (even on linux and OSX).
EDIT: Here's your proof. MSDN has this to say about
Naming Files, Paths, and Namespaces
Quote:
- Do not end a file or directory name with a space or a period. Although the underlying file system may support such names, the Windows shell and user interface does not. However, it is acceptable to specify a period as the first character of a name. For example, ".temp".
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