I would claim that this is not a bug. Sure, the message doesn't come out
correctly, but only because you run it in a cmd.exe window, not in (say)
IDLE.

IIUC, the problem is that Python computes the message in CP_ACP (i.e.
the ANSI code page), whereas the terminal interprets it in CP_OEMCP
(i.e. the OEM code page).

If we declare that all strings are considered as CP_ACP in the
exception, then the only way to fix it would be to convert it from
CP_ACP to CP_OEMCP (or, more generally, sys.stderr.encoding) on
printing. Such conversion should be implemented in an unfailing way,
either using replacement characters or falling back to no conversion.

Forcing English messages would certainly reduce the problems, but it
still might be that the file name in the error message does not come out
correctly.