Since release of glibc 2.26 there is no xlocale.h file any more, because there was never intended to be as separate file! According to the Release notes of glibc 2.26 this file

was a strict subset of the standard header locale.h

Apparently this file had had to be used only internally for the glibc, but many programs used it directly and now they fail to compile with:

In file included from /usr/include/mlt/framework/mlt_animation.h:27:0,
                    from /usr/include/mlt/framework/mlt.h:39,
                    from /usr/include/mlt++/MltAnimation.h:26,
                    from /usr/include/mlt++/Mlt.h:24,
                    from /var/tmp/portage/kde-apps/kdenlive-17.12.1/work/kdenlive-17.12.1/thumbnailer/mltpreview.h:2 ,
                    from /var/tmp/portage/kde-apps/kdenlive-17.12.1/work/kdenlive-17.12.1/thumbnailer/mltpreview.cpp:21:
    /usr/include/mlt/framework/mlt_property.h:34:10: fatal error: xlocale.h: No such file or directory
    #include <xlocale.h>
            ^~~~~~~~~~~
    compilation terminated.
    distcc[19778] ERROR: compile /var/tmp/portage/kde-apps/kdenlive-17.12.1/work/kdenlive-17.12.1/thumbnailer/mltpreview.cpp on localhost failed
    make[2]: *** [thumbnailer/CMakeFiles/mltpreview.dir/build.make:63: thumbnailer/CMakeFiles/mltpreview.dir/mltpreview.cpp.o] Error 1
    make[2]: Leaving directory '/var/tmp/portage/kde-apps/kdenlive-17.12.1/work/kdenlive-17.12.1_build'
    make[1]: *** [CMakeFiles/Makefile2:1434: thumbnailer/CMakeFiles/mltpreview.dir/all] Error 2
    make[1]: *** Waiting for unfinished jobs....
    make[2]: Leaving directory '/var/tmp/portage/kde-apps/kdenlive-17.12.1/work/kdenlive-17.12.1_build'
    make -f renderer/CMakeFiles/kdenlive_render.dir/build.make renderer/CMakeFiles/kdenlive_render.dir/build
    make[2]: Entering directory '/var/tmp/portage/kde-apps/kdenlive-17.12.1/work/kdenlive-17.12.1_build'

The above output is from a Gentoo linux distro trying to compile the kde-apps/kdenlive (kde-apps/kdenlive-17.12.1), but it is a known fact that many programs used the file and you may see another program to fail with the same or similar compilation error. You may encounter such errors when compiling perl or perl modules.
The workaround till the maintainer (if the project is alive, of course) fixes it is so simple, just link the missing file with a symbolic link:

ln -s /usr/include/locale.h /usr/include/xlocale.h