AF were in no obligation to warn you as they weren't the seller (the respective duty free agent in MIA was).

This rule is applicable and enforced in all 27 EU countries and Switzerland, Iceland and Norway.

Generally, when flying on US carriers they warn their customers about this when flying into the US and advise them to put duty free items purchased on the aircraft or at the airport in their bag. This can be done in the US because you actually reclaim your bag before continuing on (this is not done in any EU country unless you want the extra hassle).

I'm sorry you found this out the hard way, but AF and all other airlines need to obey by these laws. Admittedly, I have yet to bump into any traveller or airline employee who finds these rules useful or more secure.