It's illegal, challenge them to show you precisely where it says that a European CPL cannot fly there.
I believe you are a Swiss citizen, but is your CPL swiss as well ? Isn't there a way for you to get a UK or Spanish CPL quickly ?
I am not sure about the validity of the swiss CPL outside of Swiss though...
The JAA CPL is useable in all of the 27 countries that form Europe without any big restriction, it is european regulation and it supercedes the local legislation. IMHO the local DGAC is being very, very protectionist. The French carribeans civil servants are notoriously hard to deal with, and are usually very hostile towards anyone not from there. They'll do everything they can to keep you flying the plane, and if you succeed you can bet they'll make your life miserable.
If I were you I would call the DGAC in Paris, they are more easy to deal with.