For as little as it is worth, here's how things look like in my country:
-) for licences at European level (PPL, CPL, and everything above) the radio exam is covered by the pilot's license exam. So if you carry a JAR/JAA PPL or whatever, this automatically entitles you to operate (registered and certified) radio equipment.
-) for the national licences like ULM, balloon, glider, and probably more in some countries, the radio exam is a separate thing, to be taken at the national level by the candidate's national authority. What languages they accept is theirs to decide - here in Belgium I did all of the radio exam in English, including the informal small talk before and after.