I know that soundex in older versions of SQLServer ignored any non-english characters. I believe it didn't even handle Latin-1, let alone anything more exotic.
I never dealt with soundex much in SQL2k, all I know for certain was that it does not handle Arabic correctly. This likely extends to other non-latin character sets as well.
In any case, a soundex based algorithm is unlikely to yield acceptable results for non-english languages even aside from character set issues. Soundex was specifically designed to handle the English pronunciation of names (mostly those of Western European origin) and does not function particularly well outside of that use. You would often be better off researching any of several variants of soundex or other unrelated phonetic similarity algorithms which are designed to address the language(s) in question.