Alternately, Vim is believing the file is UTF-8 and somehow the file started as UTF-8, was read as CP-1252, and then re-written as UTF-8. That would explain what you see but I have no idea how it would happen.
EDIT: Did you notice Notepad having trouble with apostrophes, or not having trouble with them?
It’s been more than 24 hours, but I have a script up which should send each conversation to its own file. It is attached to the first post of the Exported PMs thread, and the instructions should be updated to match. Main difference: don’t redirect standard output with the greater-than sign and the output file name, and you’ll need to run u2d on each file you want to read.