Take note of the Default label: this is always assigned to one language only. The default language is the language in which the source content is created, in Contentful. For this reason, when creating a locale, ensure that the Allow empty fields for this locale checkbox is deselected so that the source content is always there.
On the other hand, as you might have already noticed, all the target languages "can be published empty". This is because you do not need any content in the target language fields at the start, since the translation is yet to come from XTM Cloud. For this reason, ensure that you have selected the Allow empty fields for this locale checkbox for target locales.