The menu that opens in game with HOTKEY + B is the RetroArch one, and Recalbox leaves it in English by default. RetroArch can nevertheless display its interface in some thirty languages.
This setting only affects the RetroArch menu. The Recalbox interface language is chosen under
START→SYSTEM SETTINGS→LANGUAGE.
HOTKEY + B (see Special commands for the mapping on your controller).Settings.User, at the very bottom of the list.Language and pick yours.The menu switches language immediately.
Recalbox regenerates the RetroArch configuration at every game launch: without an explicit save, your choice would be lost with the next game.
From the RetroArch main menu, go to Configuration File → Save Current Configuration. The written file (/recalbox/share/system/configs/retroarch/retroarchcustom.cfg) is read back at the start of every session: the language is kept, without preventing Recalbox from applying its own settings on top.
Do not change other RetroArch settings before that save: they would be frozen too. For a lasting setting specific to one game or folder, use configuration overrides instead.