Not raising an exception if an operation failed violates the Zen of Python (errors should never pass silently, unless explicitly silenced). So explicit silencing is necessary, but if so, it's easy enough to explicitly catch the exception:

try:
  locale.setlocale(..)
except locale.Error:
  pass

If the intention is that all software on Debian works successfully even if the locale is configured incorrectly, then an automated build system should perform all builds in a non-existing locale, and see if anything fails.