See subject, note that this question only applies to the .NET compact framework. This happens on the emulators that ship with Windows Mobile 6 Professional
It is odd that 8859-1 isn't supported, but that said, UTF-8 does have the ability to represent all of teh 8859-1 characters (and more), so is there a reason you can't just use UTF-8 instead? That's what we do internally, and I just dealt with almost this same issue today. The plus side of using UTF-8 is that you get support for far-east and cyrillic languages without making modifications and without adding weight to the western languages.