A) it is not a problem that PW has. Every one with this meaning should have a closer look to the screen that you have posted to dropbox:
The software is running without problems. It informs you, the superuser, about something language related, at a stage where it cannot know what you want to do with the site.
B) It is not a bug, it is a warning or information to the superuser which is the admin. These sort of informations are never displayed to users, only to superuser(s). Superusers are some sort of bus drivers, right? They need to know how much fuel is available and if the tire pressure is to low or not. The other users don't need to know all that informations, they are not driving the bus.
C) If you use a default english windows system, bought as a german in germany, and it has no de_locale settings, is this a bug? Or is it disrespectful, that it doesn't assume that the most clients may be germans and may want to use german language with german dates and german float numbers?
I don't want to become nitpicking here. If a user has no knowledge of the nature of default PHP installations, how should he know that it is set for EN-locale and not DE? Does the hosting company welcome you in english or in german on their websites? (If they do in german, it is a clear sign for me that they assume you are a german person.)
Maybe one can say that both ways have their pros and cons? If a PC-software informs you about a configuration of your system, that has potential to be not correct for your usage, it is one way that may help users with no knowledge about a special fact. But other then a hosting company in a special country, PW cannot "assume" the most used language there, PW is installed around the world. IMO, a hosting company may assume this, but also don't need to act upon it! It is like with a car dealer, he can buy you a car or ten cars, without to care if you can drive or have a driver licence. Should he do care?
An example: If a person with no knowledge uses something two years long, without to get confronted with some facts that may need recognition or a decision, the person will have the same level of knowledge in this regard after the two years.
If a person gets confronted with those facts and get pushed a bit to start to look behind the scenes of some things, he/she will have more knowledge after the two years.
Is more knowledge usefull or obstructive? (You see, we are now on the floor called philosophy. )
As another example, take your own current situation: You don't understand exactly what this locale thing is or means. Is it a bug, is it an information, is it related to PHP, to PW, to something else? You are sitting between all chairs of your friend, a hosting company and some PW lovers. Not as comfortable as it could be. If you would have get some knowledge about that thing in the past, you simply would know all relevant facts about it on your own and you now already would have done some experiments with building your site. You already would have made your hands dirty with coding.
IMHO, its PWs philosophy to force the (super)users into a bit more knowledge. But it is up to you, the superuser (or bus driver), which route you want to follow. Do you want to take the red pil or the blue pil?
Maybe you know the SELFHTML project in germany? It's slogan was or is: Die Energie des Verstehens (The energy of understanding). It was my ever goto reference since I started with webstuff in 1998/1999. (Now you know the time when I decided to take the red one )
To sum up: Neither the hosting company is wrong, not to assume a default language, nor PW is. It's only my personal opinion when I said that it could be more by the hosting company to assume a default language, than it could be by PW. But neither the web host is buggy nor PW is in this regard.
PS: Also, for me it is not a question which pil is yours. Only question for me is: Do you already have taken it, or are you just in the moment before it?