One more update, although that's probably not too surprising: The file was saved on an NTFS partition.

Sorry, one more: Code also allows me to save files with a trailing space or using reserved names like (tested by launching code.bat with the filename as a parameter, ie. code.bat "test ")

nul, com1, com2, com3, com4, com5, com6, com7, com8, com9, lpt1, lpt2, lpt3, lpt4, lpt5, lpt6, lpt7, lpt8, lpt9, con, conIN$, conOUT$, prn, clock$

I'm sure there are more DOS devices that cannot be used as a filename under Windows but I can't remember all of them and I can't find a proper list right now either.

Even though NTFS doesn't really care there are only very few programs that are able to use those files. So far the only "built-in" way I found is using powershell and prefixing the paths with \?\ but at least on Windows 7 not even the explorer or the command line use the unicode API which means that those file names prove to be problematic and should be avoided.

Good reference: https://en.wikipedia.org/wiki/Filename

New fix needs to be re-verified on Windows.