Why doesn't my Desire S support RTL? When I bought my Desire S in Israel I was under the assumption that it's OS (Android 2.3) came with built in Hebrew support.

When I turned the phone on I discovered that there isn't an option to choose Israel as a locale and that I don't even don't have a Hebrew keyboard.  That doesn't bother me (despite the fact that it should be supported) as much as the fact that even after I downloaded a Hebrew keyboard my SMSs and other little things in Hebrew appear left to right and not right to left (RTL).

What can I do to make it appear in the correct RTL way?
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).