Answer (updated from comment):
It seems like a path issue (or else you'd see some error).
Try doing something like this in your settings:
import os
PROJECT_PATH = os.path.abspath(os.path.dirname(__file__))
LOCALE_PATHS = ( os.path.join(PROJECT_PATH, '../locale'), )
print LOCALE_PATHS
to be totally sure that you've the correct path.
Also don't forget that you need to have the path locale/he/LC_MESSAGES/
that will contain your django.mo (and po) file.
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