Mr (with or without the stop) is not short for Monsieur in French. It would be only Capital M and stop, v.g. M. Arnaud.
The movie title in French is "Nelly et Mr. Arnaud", but even though it's a common mistake, "Mr." isn't short for "Monsieur", it means "Mister". "Monsieur" is written "Mr" without the period.