Hm. I'm getting the same results as OP. When I type in a paragraph styled with French as the language, Word automagically injects a finespace before the colon. I set up index entries inside these French-language paragraphs, set the index language to French, use the \r option to run sub-entries into the same line … and even if I set the Index 1 style to French, no sign of the required finespace before a colon.

An oversight, perhaps?