There might be several reasons:
1) The "FreeType" library doesn't "like" your font file. In case you use the regular "wme" (and not "wmelite") on Windows, you cannot trust what you see on Windows, because wme uses a different library for font rendering. You can try to run wmelite on Windows as well, my preferred way is to replace "wme_D3D9.exe" in the "WME Dev Tools" folder with a renamed "wmelite.exe", and add all the library dependencies as well. Then you can switch between "regular" and "lite" WME in "Project Manager" just by changing the "Use DirectX9" setting (from my memory, the setting is called differently).
2) Code page mismatch. In case you are using a code page for your text (and not UTF-8), there might be issues. I tried to implement a default for encoded strings in the "WMELiteFunctions.java", which defaults to "US-ASCII". If that is an issue for you, search the two lines that read:
Charset charset = Charset.forName("US-ASCII");
and supply the proper name for your encoding. This is sort-of experimental, as there is no guarantee that a special charset (except for the ones that are supported by default) exists. Worst case you could supply your own here. But going for UTF-8 is in my view the better choice.
I hope that one of the two issues is the cause for your problem, and that you can fix it this way. Please post your findings.