You're seeing something like this, correct:
That's because you don't have the language files for WordPress in the
wp-content/languages folder, but you do have the language file for Graphene in the theme's languages folder.
To make your site fully multilingual, you need to have at least two sets of language files, one for WordPress core and another for the theme. You can download the language files for WordPress core by downloading the language-specific WordPress package, and then upload those language files to the folder indicated above.
See this page for language-specific WordPress packages:
I said at least two sets because your plugins may need translation too, though the translation files for plugins (if they are available) are typically already included and set up along with the plugins, just like it is with themes.