You can't find an option because plink doesn't do the character set translation - that's handled by the windows command window. To change the windows command window's character set translation before you start plink use the command "chcp".
To get utf-8, you'll need to first change the console window's font to "Lucida Console". Then, try "chcp 65001".
One caveat - I've found that there's something incredibly slow and inefficient about the windows console when it's doing utf-8 such that if you send data too quickly, plink will blow up and say "A device attached to the system is not functioning".
However, I have to ask - why are you doing this? You should be using putty for anything interactive and for anything non-interactive, if you're redirecting output into a file the translation that the windows console has in effect at the time doesn't matter. The file is then in utf-8, and whatever windows program you're opening it in needs to be told that.