You're not seeing this error onscreen right? Only in your console? This means it will just pick the mendix_en.js which is fine.
Locale data is fetched by the client from generic to specific. So if the locale is set to en-ZA, both mendix_en.js and mendix_en-za.js are fetched.
However, if there is no CLDR data available for the specific locale (en-ZA), this will result in a HTTP 404, and the client will fall back to the less specific locale data (en).
So the error in the console log you mentioned, does not mean that there is something going wrong in your application, but only tells the client there is no specific CLDR data available for the particular locale, so the less specific locale (en) will be used.
I've checked the file location of the language files in mxclientsystem/mendix/nls/ and the language file for English, South African is indeed missing. I recommend filing a bug report.
Edit: the language is missing in mx 2.5.3 and also in 126.96.36.199 so I think it's missing in al versions.