[3.13] gh-126742: Add _PyErr_SetLocaleString, use it for gdbm & dlerror messages (GH-126746) (GH-128023)

- Add a helper to set an error from locale-encoded `char*`
- Use the helper for gdbm & dlerror messages
(cherry picked from commit 7303f06846b69016a075bca7ad7c6055f29ad024)

Co-authored-by: Bénédikt Tran <10796600+picnixz@users.noreply.github.com>
Co-authored-by: Victor Stinner <vstinner@python.org>