It happens. I once bought a Nvidia Geforce4 card at local store, and it came w/ a euro version of Morrowind. I didn't realize it until I tried to apply the U.S patches and it wouldn't work.
Still, that's really odd that a PAL game works on your PS2 w/o a swap magic or modchip. Maybe, the factory goofed you really have a US-NTSC version in a french package.