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Coverity is warning about four cases of potential NULL forwarding in which subsequent code does not expect a NULL value.
30. no_write_call: Although get_locale_info does overwrite locale.decimal_point on some paths, it also contains at least one feasible path which does not overwrite it.
1140 /* Calculate how much memory we'll need. */
 CID 1372743: Explicit null dereferenced (FORWARD_NULL) [select issue]
 CID 1372744: Explicit null dereferenced (FORWARD_NULL) [select issue]
 CID 1372745 (#1 of 1): Explicit null dereferenced (FORWARD_NULL)21. var_deref_model: Passing &locale to calc_number_widths, which dereferences null locale.grouping. [show details]
1141 n_total = calc_number_widths(&spec, 0, sign_char, unicode_tmp, index,
1142 index + n_digits, n_remainder, has_decimal,
1143 &locale, format, &maxchar);
1322 /* Calculate how much memory we'll need. */
 CID 1372742 (#1 of 1): Explicit null dereferenced (FORWARD_NULL)32. var_deref_model: Passing &locale to calc_number_widths, which dereferences null locale.decimal_point. [show details]
1323 n_re_total = calc_number_widths(&re_spec, 0, re_sign_char, re_unicode_tmp,
1324 i_re, i_re + n_re_digits, n_re_remainder,
1325 re_has_decimal, &locale, &tmp_format,
1326 &maxchar);

New changeset a27cb132e140 by Benjamin Peterson in branch '3.5':
improve type-safe of and prevent double-frees in get_locale_info (#28119)
https://hg.python.org/cpython/rev/a27cb132e140
New changeset 5ab61df1ca96 by Benjamin Peterson in branch '3.6':
merge 3.5 (#28119)
https://hg.python.org/cpython/rev/5ab61df1ca96 

I think that should take care of it (and also possible double-frees I noticed)?

Thanks! You fixed the problem and Coverity is no longer complaining. The code is more readable, too.
Are you talking about these lines? Yes, they were confusing me.
if (locale_info->thousands_sep == NULL) {
 Py_DECREF(locale_info->decimal_point);
}