I have followed your instructions with no luck.
After I did CP > Design > Message Pages > Email Notifications and uncheck “Enable This Template” for the Mailing list email I downloaded the swedish translation of the system and choosed this in my profile.
I then when to the front-end and signed up for the newsletter. Everything on the site works fine but the email is still in english.
Image 1 - Swedish selected in my profile
Image 2 - Swedish thanks message in front-end after sign up to the newsletter
Image 3 - The Email sent from the system to activate sign up, still in english.