> > (setq-default buffer-file-coding-system 'undecided-unix)
> 
> That's your problem, mot probably.  Can you try again after removing
> it?  If that solves the problem, I can then tell you how to do what
> you want without disrupting encoding/decoding defaults.
> 
> > And I do this:
> > (setq process-coding-system-alist
> >       (cons '("bash" . (raw-text-dos . raw-text-unix))
> >             process-coding-system-alist))
> 
> This is not related, but it is also wrong.  Why do you do that?

Why are these things "wrong"?  I do them as part of the setup
to use Cygwin.  I do them in `setup-cygwin.el', which is,
incidentally, used by quite a few people AFAIK.
http://www.emacswiki.org/emacs/download/setup-cygwin.el

Anyway, I tried commenting out the first of those.  That did
change the text of the *Warning* buffer, so that it mentioned
utf-8 as one of the possibilities.  (Unfortunately, I still
cannot get the file saved, because Emacs crashes.  Again, the
autosave file looks fine in a new session, and shows U(Unix)
in the mode line.)

Attached is a screenshot of the *Warning* text after commenting
out that line.