End of 2018, you’d think, by now, that locales setup should not be a concern. But, still, in the case of user-specific configuration, mismatching the system locale (granted, that must not so be so common), I got various odd results. Like lightdm not setting anything no matter what you select on the login window. Or, worse, half-assed setup, with LANG being set and then unset, of LANGUAGE being not set but still expected by some apps, with a desktop with no option to configure it like XFCE.
After a few tests, turns out that user .xsessionrc works perfecly, independantly from desktop environment or desktop login manager:
echo "export LANG=fr_FR.UTF-8 export LANGUAGE=fr_FR.UTF-8" >> ~/.xsessionrc
with french (fr_FR) selected here.