No, you do not need to create copyrights in France if you don’t live there. Each country has its own system for music licensing. For example, in France, SDRM (Société pour l’Administration du Droit de Reproduction Mécanique) manages the licensing for mechanical reproduction.
However, if you are based in a different country, you should check with the local licensing society in your country to ensure your rights are protected when reproducing music on a physical format. Each country has their own music royalty collections, licensing and rights societies.
If you have any samples and/or cover songs in the music, you will need to provide the appropriate mechanical licenses.
If you and the group are 100% the creative owners of all the music, we can supply a general Intellectual Property Rights declaration form.