The reason is that NLS is related to message translations to different
languages.

And bash has the general feature that \uNNNN is translated into the unicode
character using iconv. This is unicode support, and should have nothing to
do with translations.

bash also currently has a bug that --disable-nls causes it to fail to find
iconv. This bug has been reported upstream to bash-devel ML. In the future,
when bash will fix this, this will make a difference.

Note that this uses iconv from libc.