Can characters of an actual file name be converted? The file name specified on parameter FILE= has an ebcdic É (x'71') and it is being converted to an ascii ; (which is a x'3B'.), when transferred to Windows/Unix.

XCOM r12 for z/OS
XCOM r11.6 for Windows or UNIX

No, the characters of an actual file name cannot be converted during transfers. XCOM uses a standard internal code page table that does not support national characters. This table cannot be modified and it is the same table used across all the versions of XCOM on different platforms. 
A suggestion would be to create a post processing program that would rename the file name after the transfer has been complete.