After compiling the latest xfce4-session 4.13.2, the locale stopped being set properly. LC_CTYPE, LC_COLLATE, and LC_MESSAGES are set to the language code selected in lightdm, "ru", which is not a valid locale name, "ru_RU.UTF-8" It worked properly in 4.12.1.
It appears that some component is setting GDM_LANG, and xfce4-session has some very old code for handling that env var. https://git.xfce.org/xfce/xfce4-session/tree/xfce4-session/main.c#n111
The xfce4-session package from Ubuntu removes the linked code block (xubuntu_ignore-gdm-lang.patch). Therefore, the same thing does happen with 4.12.1 when manually compiled.
Lionel Le Folgoc referenced this bugreport in commit b681969f9094480a1f1092d4dbe1e2c5c336b63f Drop GDM compatibility code otherwise the session locale might be set to an invalid value. https://gitlab.xfce.org/xfce/xfce4-session/commit/b681969f9094480a1f1092d4dbe1e2c5c336b63f