Would you rather read a romance/adventure story set in the Canadian Rockies or South-West of France?
I’d rather read a story set somewhere the author is familiar with. I don’t really think it matters where. But if you plan to set it in France, you’ll have to incorporate that everyone around your (presumably visiting) characters will be speaking French. Obvious, but there are an awful lot of annoying American books where everyone in “Europe” conveniently speaks perfect English as required.