Escaping the tags makes no difference either

Constructors definitely should throw an Exception.

Use quotes to quote { inside the format string, since { is a special char for message formats.
Like this: 
$f1 = new MessageFormatter('en_US', '\'{\'what is wrong {0} with this pattern ???\'}\'');

Thank you for taking the time to write to us, but this is not
a bug. Please double-check the documentation available at
http://www.php.net/manual/ and the instructions on how to report
a bug at http://bugs.php.net/how-to-report.php

I can understand if msgfmt_create(...) or MessageFormatter::create(...) return NULL
on invalid patterns, but attempting to create any object using "new" should 
throw an exception.

Imagine this:

class MyMessageFormatter {
  function __construct($pattern) {
    if($this->badPattern($pattern)) {
      unset($this);
      return null;
    }
  }
  
  // ...
}

The above code makes no sense at all!!! PHP itself will compile the code, but will still 
give me an object.

I insist that returning NULL from a constructor is a BUG, sorry...

This is fixed in PHP 7.