What you are trying to do is avoid paying International Roaming charges to a carrier.
An officially unlocked iPhone will work on any GSM/EDGE network in the country the iPhone has been officially released in. (In this case France). iPhone has not to the best of my knowledge been launched in Spain and so will not recognise a SIM card from a Spanish Network Operator.
An officially unlocked iPhone is not the same as a SIM FREE mobile, except in the country of release (France in this case). For example, I could travel to France and buy an officially unlocked iPhone. I could travel back to the U.K, where iPhone has been officially released, however upon activation, I could only choose O2 and one of their price plans, as they are the only supported network for iPhone in the U.K. I could not choose any network operator SIM the U.K has to offer, as iPhone has been exclusively launched on O2 in the U.K. Likewise I could not activate iPhone in France, then travel to the U.K and install any U.K network operator SIM card and expect iPhone to work. It won't. It will work fine with the French Operator SIM card installed, using International Roaming.
Therefor, there is no point in me traveling to France to buy an officially unlocked iPhone for use in the U.K, as I would pay more for the iPhone (being unlocked) and would still have to sign up to an 18 month O2 contract
If you install your French Network SIM and travel to Spain or the U.K, iPhone will function as expected using International Roaming.
You said " In buying a UNLOCKED BY APPLE AND ORANGE iphone I expect it to be unlocked giving me the above ability".
Your expectation is what is disappointing you. The officially unlocked iPhone is available as a matter of French law. French law does not cover Spain, the U.K or any other country. I have raised this point in other posts, an unlocked phone does not necessarily mean the same as a SIM FREE phone.
When you buy a SIM FREE mobile phone, it is exactly that. SIM FREE (and you pay a premium for SIM FREE mobile phones). It will work with any SIM card from any supported Network Operator, however you may not get full functionality from the device on an unsupported network. especially if the device in question has not been launched in the country you are trying to use it in (Networks may not support all device functions).
An unlocked device, it could be argued, refers to a device sold contract free, thus not being locked into a contract with a specific carrier in the country of release. The unlocked device will work with any network operator SIM in the country of release. This appears to the be the case with iPhone.