The GML file format is quite old, and at the time of its inception, the inventors apparently didn't care about encoding issues...
What happens is this: When writing a GML file, yEd uses the system's default character encoding. Obviously, on your Linux system this was UTF-8.
As far as I know, however, the Apple Java SE6 uses "MacRoman" as the default character encoding. And so does yEd when reading your GML file. This is the conversion where information is lost.
(I'm not sure why it works for you when you run yEd.jar with Java 1.6 on the console, though.)
My advice would be to open the files on your Linux system, save them as GraphML, and then open these GraphML files on your Mac.