Thank you for your reply.
After investigations I noticed that in my Layout.cshtml the US messages are after the French.
<script src="~/lib/kendo/js/messages/kendo.messages.fr-FR.min.js"></script>
<script src="~/lib/kendo/js/messages/kendo.messages.en-US.min.js"></script>
I've done that because if the user is running a US Browser session, it will be in English and if the user is running a FR session it will be in French (assuming that in my razor view I pick up the current culture).
This mechanism work for me on another app with grid or other control but I have never tried it with the ColumnMenu.
About the customization of the messages in the article. It could be interesting but as I'm using MVC for declaring the Grid. It could be a little tricky to add it in the declaration of the Grid. Need perhaps to add some JavaScript Code in the RazorView.