Você escolheu uma fonte para o vim que contém todos os caracteres cirílicos e é mono-espaçada? Por exemplo "Courier New (cirílico)"
Há alguns bons conselhos em nabble
To see cyrillic characters in Console Vim you need a terminal with Cyrillic display, since Console Vim can only use whatever characters the underlying terminal offers.
In gvim, you can display Cyrillic characters on two conditions: - 'encoding' must be set to some value which supports Cyrillic text. This can be an 8-bit encoding like koi8-r, cp1251 or ISO-8859-5, or a multibyte encoding like UTF-8. - Your 'guifont' must include Cyrillic glyphs. Lucida_Console has a problem in that its Cyrillic bold glyphs are slightly wider than its unbold glyphs. Courier_New is uglier but "saner".
(Atualização:)
Na página de download do Vim , existem
iconv library libiconv
A library used for converting character sets. Put "iconv.dll" in the same directory as gvim.exe to be able to edit files in many encodings. You can find the dll file in the bin directory of the "libiconv-win32" archive.
newer intl library libintl
The included libintl.dll does not support encoding conversion. If you have installed the iconv library, as mentioned above, you can install a gettext library that uses it. Get "intl.dll" from the bin directory in the gettext-win32 archive and store it as "libintl.dll" in the same directory as gvim.exe, overwriting the file that may already be there.
PC translations vim##lang.zip vim72lang.zip
Only for 7.2 and earlier, for 7.3 these are included in the "rt" archive. Translated messages and menu files, packed for the PC. Use this to see non-English menus. The messages are only translated when the libintl.dll library is installed.