`<system_error>`: `system_error` doesn't honor the current threads's locale

[fsb4000]

Describe the bug
"Is there a way to make system_error to honor the current threads’s locale ?
This always prints an error-message according to my default locale."

Command-line test case

C:\Temp>type repro.cpp
#include <clocale>
#include <iostream>
#include <string>

#include <Windows.h>

int main() {
    setlocale(LC_ALL, "");
    SetThreadLocale(MAKELCID(MAKELANGID(LANG_ENGLISH, SUBLANG_ENGLISH_US), SORT_DEFAULT));
    std::string errmsg = std::system_category().message(1);
    std::cout << errmsg << '\n';
}

C:\Temp>cl /nologo /EHsc /W4 /WX repro.cpp
repro.cpp

C:\Temp>.\repro.exe
Неверная функция.

Expected behavior
The message should be in English. (My System Language is Russian)
The program should have a way to change locale of system_error messages.

STL version
git commit hash: ef62d3f

Additional context
DevCom-10098476

Currently we use LOCALE_NAME_SYSTEM_DEFAULT so we don't honor the current threads's locale.

STL/stl/src/syserror_import_lib.cpp

Lines 43 to 59 in ef62d3f

	_NODISCARD size_t __CLRCALL_PURE_OR_STDCALL __std_system_error_allocate_message(
	const unsigned long _Message_id, char** const _Ptr_str) noexcept {
	// convert to name of Windows error, return 0 for failure, otherwise return number of chars in buffer
	// __std_system_error_deallocate_message should be called even if 0 is returned
	// pre: *_Ptr_str == nullptr
	DWORD _Lang_id;
	const int _Ret = GetLocaleInfoEx(LOCALE_NAME_SYSTEM_DEFAULT, LOCALE_ILANGUAGE | LOCALE_RETURN_NUMBER,
	reinterpret_cast<LPWSTR>(&_Lang_id), sizeof(_Lang_id) / sizeof(wchar_t));
	if (_Ret == 0) {
	_Lang_id = 0;
	}
	const unsigned long _Chars =
	FormatMessageA(FORMAT_MESSAGE_ALLOCATE_BUFFER | FORMAT_MESSAGE_FROM_SYSTEM | FORMAT_MESSAGE_IGNORE_INSERTS,
	nullptr, _Message_id, _Lang_id, reinterpret_cast<char*>(_Ptr_str), 0, nullptr);
	return _CSTD __std_get_string_size_without_trailing_whitespace(*_Ptr_str, _Chars);
	}

We can't use GetThreadLocale because it doesn't work with UWP.
Minimum supported client | Windows 2000 Professional [desktop apps only]

I recently changed the function but previous version didn't respect the current threads's locale either: https://godbolt.org/z/37f44nahM