My tests were with official distributions.

Yamamoto-san, thank you for your testing. I was thinking it might have
been something to do with changed semantics, but I am happy you saved me
the time from having to compile.

Looking at the documentation for setlocale() in VS6
(http://msdn.microsoft.com/en-us/library/aa272906(VS.60).aspx) and 7
(http://msdn.microsoft.com/en-us/library/x99tb11d(VS.71).aspx) it seems
that the behaviour in VS6 (and thus Python 2.5) was flawed. The
supported language options are listed at
http://msdn.microsoft.com/en-us/library/aa246450(VS.60).aspx and they do
not list a "fr" combination. It seems the possibility of "fr" working
might have been a remnant or a bug. The appropriate language designation
should have been "fra" for the default French locale.

From my 2.6 interpreter:

>>> setlocale(LC_ALL, "fra")
'French_France.1252'

So this is all intended behaviour and not a bug with Python. As such I
propose to close it.