The system font for displaying message boxes is Segoe UI or Tahoma, by default, on Windows systems and Deja-Vu Sans or simply "Sans" on Linux systems. These fonts do not have the codes or the characters necessary to support the display of Indic text. In order to display text in that language your system's default UI font needs to have those characters encoded.
Also, just an aside: UTF-8 documents can be preambled, which means the byte-order-mark is given which tells the text processor to explicitly scan for a specific encoding. For UTF-8 three bytes EF BB BF signify text encoding. Do NOT use the preamble when saving PHP files. If you read the Unicode spec carefully, UTF-8 is designed not to be used with a preamble. But if you must add it, add it as an 'echo' from the PHP script before any other output, but do not start the PHP script file that way. (Just in case you run across this in your Unicode travels)