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Well, I would like to correct this further and add clarification based on the current implementation (_sre.c)
The definition of LOCALE Space is this -
 #define SRE_LOC_IS_SPACE(ch) (!((ch) & ~255) ? isspace((ch)) : 0)
And the definition of NON_SPACE category is a negation of space. That's it.
Now, given that definition, we see for the character values higher than 255, the check is not made at all. Is it simple ascii isspace is considered when the LOCALE flag is set. And in effect, re.LOCALE flag has not extra effect on matching of space or non-white space character.
After realizing this, I propose the following changes attached in the patch as a documentation fix.