The message-catalog support was written but is badly bit-rotted. SXEmacs 22.2 may do so, but it is not of high priority currently. Again, if you are willing to help, contact us.
However, menubar localisation does work. To enable it, add to your Emacs file entries like this:
Emacs*XlwMenu.resourceLabels: True Emacs*XlwMenu.file.labelString: Fichier Emacs*XlwMenu.openInOtherWindow.labelString: In anderem Fenster oeffnen
The name of the resource is derived from the non-localised entry by removing punctuation and capitalizing as above.