Why doesn't my Desire S support RTL?
From my experience I would guess you've bought a device imported by a private store rather from a local carrier, the people where you bought it should have replaced the stock rom into a hebrew supporting one after opening the package. I had the same thing done to my device after purchase and it won't void your warranty in any way.

either ask them to do so or just root your device and flash a hebrew rom from the web (may void warranty).