https://bugs.winehq.org/show_bug.cgi?id=39770
--- Comment #2 from Ken Thomases ken@codeweavers.com --- What happens if, instead of setting LANG (or LC_ALL), you actually change the system language in System Preferences > Language & Region?
Cocoa is replacing the menu item that the Mac driver creates programmatically with its own. (For example, the Mac driver doesn't have the text "Exit Full Screen" anywhere in it, but the menu item's title changes to that automatically.) I expect that Cocoa is respecting the system language rather than LANG or LC_ALL.