Regardless, there is a bug in Mojave where the locale is always reported with an en_ prefix, which RStudio was running afoul of.
This should hopefully be resolved in the latest daily builds (https://dailies.rstudio.com/), with RStudio v1.2.1030. We'll plan on backporting the patch to v1.1 if we can confirm it does indeed function as expected.
But the odd locale is not in the list produced by running "locale -a" on terminal and the error is not present when running standalone R.
Another piece of information: when installing new packages I get this other warning: tar: Failed to set default locale. Again this warning do not appear in vanilla R.