Hey Matej,
You can ignore the error from the CSA.
As you know within the PPM user settings the subset of languages and locales supported does not cover this combination, so on the application side you shouldn't see that message because once you login then the user's session will be set with the value for that user.
The way the CSA behaves (internally) allows this error to appear for these reasons:
1. Even though the CSA is accessed with password only, it has an implied user ('sa') and that user is still granted a session within the system (although it's not used or accessed in the same way), and so it passes through some of the common code and checkpoints along the way.
2. The CSA is passed in your locale/language string that was provided by the web browser (which it took from the OS you are using on your client), and in that way it can get hold of a value that is not normally supported within the PPM UI. It is this ability by the way, that allows PPM to display a 'localized' and translated login screen even before it knows which user is trying to get in.
3. Since the special 'sa' user has no user preferences to pick a language/locale it will always try and check the browser one to see if it is valid.
Hopefully the presence of this in the logs does not cause too much concern - at least, after taking the above into account.