Now that I have this executing, it's giving me the following result.
I don't see a difference, so suspect the test itself rather than the shell.

./D07multibyte.ztst: starting.
Testing multibyte with locale en_US.utf8
*** /tmp/zsh.ztst.out.5327      2009-04-24 16:28:27.000000000 -0400
--- /tmp/zsh.ztst.tout.5327     2009-04-24 16:28:27.000000000 -0400
***************
*** 1,2 ****
! HÎH HÎH HÎH HÎH HÎH
  HAH HEH HUH HÃH HÃH
--- 1,2 ----
! HÎH HÎH HÎH HÎH HÎH
  HAH HEH HUH HÃH HÃH
Test ./D07multibyte.ztst failed: output differs from expected as shown above for:
  print -oi HÎH HÎH HÎH HÎH HÎH
  (LC_ALL=C; print -oi HAH HUH HEH HÃH HÃH)
Was testing: Multibyte characters in print sorting
./D07multibyte.ztst: test failed.