What the existing answers kinda imply but do not point out exactly is that there are two notions of locality, and one needs to exercise judgement in telling them apart.
Local can mean "in an open neighborhood", which is always finite.
Example: If $A$ is a closed $k$-form on a manifold $M$, there is a theorem (Poincaré's lemma) which states that then $A$ is locally exact as well. What this means is that each point $x\in M$ has an open neighborhood $U$ such that there is a $k-1$-form $B$ on $U$ satisfying $A|_U=dB$. The domain $U$ in question is finite.
There is also a notion of locality that is infinitesimal, which can be stated more rigorously using derivatives/jets. Some examples:
Example 1: It is often stated that every metric tensor is "locally flat". What this means that each point $x\in M$ has a neighborhood $U$ that is a coordinate neighborhood with some coordinate system $x^\mu$ such that at $x$ we have $g_{\mu\nu}(x)=\eta_{\mu\nu}$ and $\partial_\kappa g_{\mu\nu}(x)=0$.
Note that the neighborhood $U$ is finite, but the result is essentially valid for the "first-order infinitesimal neighborhood" of the point only. Without using some other framework such as synthetic differential geometry there is no way of stating this rigorously, but one can imagine that the first-order infinitesimal neighborhood of $x$ is the (fictious) region $U_1$ which contains $x$ and has the property that for any point $x+dx$ which is also in $U_1$ (i.e. infinitesimaly close to $x$) we have $f(x+dx)=f(x)+\partial_\mu f(x)dx^\mu$ as an exact (rather than approximative) relation for any smooth function $f$.
Example 2: Differential operators. The exterior derivative $d$, for example is a local operator in both sense. It is a local operator in the finite neighborhood sense because if $A$ and $B$ are differential forms that agree on some open neighborhood of $x\in M$, then $dA=dB$ on that neighborhood, but it is also an "infinitesimally local" operator in the sense that if $A,B$ are differential forms on $M$ such that at $x\in M$ we have $j^1_xA=j^1_xB$ (this essentially means that $A(x)=B(x)$ and in any chart they have the same first derivatives at $x$), then $dA(x)=dB(x)$.
For OP's examples, the curvature tensor is an infinitesimal measure of curvature. If the curvature tensor vanishes at a point it means that any loop in the second-order infinitesimal neighborhood of that point has integrable parallel transport.
The vanishing of the curvature at a point has no finite bearings on the manifold's geometry.
To complicate things, I am also noting that if the curvature tensor vanishes in the entire manifold, its effect on parallel transport is also only local, but now finite-local. If the entire curvature tensor vanishes, then it guarantees that parallel transport is path-independent in some open neighborhood of each point, but the corresponding global statement is not necessarily true, due to purely topological obstructions, a notion captured in the so-called null-holonomy (cf. Aharonov-Bohm effect).