Why France? - Well the title of the accompanying album is Parade, taken from at Erik Satire ballet which had a set designed by Picasso and scenario from Jean Cocteau.
(When you've already won recorded music, live shows and the movie box office -- where else would he look for inspiration?) That ballet is a surrealist work, as is this film.
Listen here: https://www.youtube.com/watch?v=IuZ4DYywqpw
There's also a fully orchestrated version of the album in Prince's vault that's yet to be heard.
#FunFact2
Prince used Martin Scorsese's cinematographer, so Michael Ballhaus shot this for Prince and then later... Goodfellas
