Many iTunes Store movies in France may default to French dubbing, but also have English audio available in the stream, especially modern releases from US origin. Change subtitles or languages for videos in the Apple TV app or iTunes Store - Apple Support
UK/US/CA TV shows from the French iTunes Store may be available in two versions, but not always. Buy the correct version to get the audio you seek. I specifically noticed separate editions for HBO releases. Indicators are: “VOST” (Version Originale Sous-Titrée) and “VF” (Version Française).
The regional studio representatives decide what audio tracks (and subtitles) to include in their region, hopefully based on what they think the audience wants. And the general sentiment seems to be that anglicisation is frowned upon in France.
You cannot change Store region ‘at will’. It is tied to the region of your account (and the region of your payment method). Apple Media Services may not be available to you outside your account’s ‘home country’, per the terms and conditions [1]. Changing the region has consequences for everything regarding your account and past purchases. Change your Apple ID country or region - Apple Support