"console: Failed to install '': java.nio.charset.UnsupportedCharsetException: cp0" message when opening a PyDev console

When opening a PyDev console using Jython 2.7b3, I am getting the following error message.

console: Failed to install '': java.nio.charset.UnsupportedCharsetException: cp0

This does not show up in Jython 2.5. Note that this was already reported elsewhere, like:
http://sourceforge.net/p/jython/mailman/message/32935457/
http://bugs.jython.org/issue2222%3E

To workaround this issue, add -Dpython.console.encoding=UTF-8 in PyDev configuration, see below for details.