gh-126742: Add _PyErr_SetLocaleString, use it for gdbm & dlerror messages (GH-126746)

- Add a helper to set an error from locale-encoded `char*`
- Use the helper for gdbm & dlerror messages

Co-authored-by: Victor Stinner <vstinner@python.org>

Modules/_sqlite/util.c

@@ -134,6 +134,7 @@ _pysqlite_seterror(pysqlite_state *state, sqlite3 *db)
 
     /* Create and set the exception. */
     int extended_errcode = sqlite3_extended_errcode(db);
+    // sqlite3_errmsg() always returns an UTF-8 encoded message
     const char *errmsg = sqlite3_errmsg(db);
     raise_exception(exc_class, extended_errcode, errmsg);
     return extended_errcode;