Preserving accented letters in small caps in French in Word

I thought this odd behavior had to be specific to French. Surely letters such as å or ö would be correctly capitalized to ÅÖ, and indeed they are. Furthermore, if I change the language of the text to, say, German, then all accents are preserved. In fact, the behavior is specific to text in the “French (France)” language — accented letters in other French variants such as “French (Belgium)” are not mangled in small caps.

So I switched my document's language to “French (Monaco)”, and accented letters in small caps are now rendered correctly.

It appears that we French have the privilege of having our very own option in Word:

In Word 2010, go to File > Options > Proofing ("Vérification"), and check Enforce accented uppercase in French ("Majuscules accentuées").