Firstly xfig uses Latin-1 rather than UTF. Secondly, according to the help file, it appears to need X11R6 resources to support internationalisation. (I don’t have any of the fonts you mention on my system). Thirdly, AFAIK it does not use the system fonts but its own fonts.
It is possible to enter most Western European characters from the keyboard simply by changing the keyboard layout except where they involve deadkeys which xfig does not recognise. Pressing what is normally a deadkey will produce the accent, e.g circumflex or diaeresis in French. Where I need these accents, I create them separately and move them over the character - a bit tedious but it works.
Note that you cannot change layout while entering a string; this causes odd effects in xfig.