Sadly, Bootcamp doesn't seem to properly setup the keyboard layout, so here are the steps to fix it:
Get Microsoft Keyboard Layout Creator
Install & run it, hit File then Load existing keyboard. Look for your language followed by (Apple) – in my case Português (Apple).
Head to Project, then Properties... and give those fields some love.
Hit Project again, but this time Build DLL and Setup package.
Install the new layout by running the generated
Go to 'Region and language' settings, select the 'Keyboard and languages' tab, hit 'Change Keyboards...' and then add your new custom keyboard, making it the default.
And that's it.