there is a French song Madame La Marquise but it is a different theme from Robert Service's poem or any of the Shame and Scandal variants - Madam rings home, butler tells her that everything's fine but her horse has died, Everything is fine but the horse died in the fire in the stables, Everything is fine but the fire spread to the stables from the fire in the house, Everything is fine but her husband committed suicide (by setting the house on fire - if I remember correctly)

I thought this a strange song, but a French woman explained to me that it was an allegory for the country metaphorically burying its head in the sand when Nazis were taking over Europe. I had thought the song was just mocking the aristocracy and the stiff upper lip way of going.