I figured out a lot of the Cyrillic alphabet, and it's really complicated. So far in my experience, I have not used any COLLATION_CONNECTION. Everything that I do is put, like you, all possible files in utf8. Then I put the fields in the database into "utf8_unicode_ci", and I use only SET NAMES parameters to set the encoding of the connection. That should be enough. Keep in mind that Set names can be complex since there is only one place in the extra and it will not work. I use:
define("DBENCODING", "utf8"); mysql_query("SET NAMES '".DBENCODING."'", $this->connection);
I hope I was able to help.
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