org.jfree.chart.axis.DateAxis only takes the locale as constructor argument, and it's not possible to change it after the axis has been created. So if you create a chart via ChartFactory, you won't be able to set the locale for the date axis (unless you instantiate a new axis object and replace it in the chart).
A setLocale method would make such case much easier. The method would do what the existing setTimeZone method does (i.e. set the locale, call setStandardTickUnits with updated units and send an AxisChangeEvent).