my $locale = $ARGV[1];

AIUI, you'll want $ARGV[0] not $ARGV[1].
I've also added strictures and warnings to your script (to trigger any helpful diagnostics that might be lurking):

use strict;
use warnings;
use v5.10;
use POSIX qw(LC_ALL setlocale strftime);

my $locale = $ARGV[0];
say "$locale: ", POSIX::setlocale(LC_ALL, $locale);

my $march = strftime("%B", 0, 0, 0, 1, 2, 123);
say $march;
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On Windows 11, perl-5.38.0, I then get:

D:\pscrpt>perl try.pl de_DE.UTF-8
Use of uninitialized value in say at try.pl line 7.
de_DE.UTF-8:
March
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It seems that the POSIX::setlocale() call is not returning anything.
The POSIX documentation suggests that the following one liner should work:

D:\>perl -MPOSIX -wle "$loc = POSIX::setlocale( &POSIX::LC_ALL, 'de' )
+; print $loc;"
Use of uninitialized value $loc in print at -e line 1.
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That's not my idea of "working".
I would raise an issue about this at https://github.com/Perl/perl5/issues.
At least then you'll get feedback from people with some expertise regarding locale settings on Windows.

BTW, for me, the C program you provided output:

C: March (5 bytes)
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Cheers,
Rob