Move locale code out of tm, into _config
As discussed last week, one of ugliest runtime imports in `tslibs` is of `tm` for `tm.set_locale`.  This moves `set_locale` and a couple of other locale-related functions out of `tm`.

As discussed in #25162, #25203, #25613, this moves the affected functions to a new directory `pandas/_config`, intended to be strictly "upstream" from the rest of pandas (potentially even made actually-upstream as suggested [here](https://github.com/pandas-dev/pandas/pull/25176#issuecomment-461209852)).

Following this and #25613, a bunch of other cleanup/simplification becomes feasible.