Solution : https://service.sap.com/sap/support/notes/724002 (SAP Service marketplace login required)
Key words : 
menu option 'user -> log, correct code page, message dialog box, user receives, dialog box, transaction sm04, country settings, problem occurs, kernel patch, patch level
Related Notes : 
       
| 1372098 | Dialog box in system language when logging off | 
| 991211 | CST Patch Collection 42 2006 | 
| 735057 | CST Patch Collection 20 2004 | 
| 723952 | CST patch collection 15 2004 |