Final Draft 12 / 11 support Unicode and you can use many non-Western languages. See What foreign languages can I use in Final Draft? for a table showing all available languages supported by FD12 / 11.
Final Draft 9 and 10 will allow you to insert some accented characters used in languages that use Western (Latin) characters. They don't support the easy use of foreign alphabets.
If you have an older version of Final Draft and you need to write scripts in certain non-Western languages, consider upgrading to Final Draft 12. Information on the upgrade is HERE.