I have a header named like that, but it lies in a pretty strange path. I also have a locale.h header in a more reasonable place.
hadrien@linux-2ak3:~> find /usr/include/ -name xlocale.h
/usr/include/c++/v1/support/ibm/xlocale.h
/usr/include/c++/v1/support/musl/xlocale.h
/usr/include/c++/v1/support/newlib/xlocale.h
/usr/include/c++/v1/support/solaris/xlocale.h
/usr/include/c++/v1/support/xlocale/xlocale.h
hadrien@linux-2ak3:~> find /usr/include -name locale.h
/usr/include/bits/locale.h
/usr/include/c++/v1/locale.h
/usr/include/locale.h
(From a look at your error, it looks like this TBB-download script is trying to download some TBB sources package that doesn’t exist anymore and should probably be updated to point to the proper URL. I would gladly give you a fixed URL myself, but it looks like a paranoid person disabled the web server’s ability to list the contents of the directory @ https://lcgpackages.web.cern.ch/lcgpackages/tarFiles/sources/ 
)