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.
Here in Germany the Radio Licence is a separate exam which is part of the PPL syllabus, whether for microlights, gliders or powered aircraft. First things first, there are different levels - BZF 1, BZF 2 and AZF - the first two differ in the language (BZF2 is German, BZF1 is english), the AZF is for advanced flying (commercial, for example). You *have* to do the national language - ie German and then you can take the english language version, I was informed that, even though I am a native english speaker, it is NOT possible to go straight for the BZF 1 and ignore the BZF2 because I would be flying in Germany and might be required to approach an airfield where the published language is German hence BZF 2 was mandatory......