This is because locale-gen is using an archive file to store all the locales, but many utilities are still looking for the locale files.
Have a look at /usr/lib/locale/. If your output looks like this, read on:
ls /usr/lib/locale/
C.UTF-8 locale-archive
The warning isn\'t critical, as far as I can tell, but if it bothers you or causes troubles, try the following in a terminal window:
sudo locale-gen --purge --no-archive
This command purges (deletes) the archive file and replaces it with the .utf8 files.
ls /usr/lib/locale/
C.UTF-8 de_LI.utf8 en_CA.utf8 en_IN en_US.utf8
de_AT.utf8 de_LU.utf8 en_DK.utf8 en_NG en_ZA.utf8
de_BE.utf8 en_AG en_GB.utf8 en_NZ.utf8 en_ZM
de_CH.utf8 en_AU.utf8 en_HK.utf8 en_PH.utf8 en_ZW.utf8
de_DE.utf8 en_BW.utf8 en_IE.utf8 en_SG.utf8