Is this situation likely to change soon? Or is there some deep reason for it, which is likely to make it last a long time?
IMHO, Amazon most likely hasn't updated the Kindle for Windows and OSX apps, because not enough readers demanded custom dictionary support. (BTW, Amazon-bought dictionaries can be sent to the Kindle for Android app.)
Until Amazon fixes this, you can outsmart the Kindle for PC/OSX/iOS apps by changing the ASIN number of your custom dictionary to the ASIN number of one of the default dictionaries and overwriting the default dictionary with your custom dictionary. This involves the following steps:
Remove the DRM from the custom dictionary that you want to use.
Download a dictionary that you won't use, e.g. the American English dictionary (B003ODIZL6_EBOK.azw).
Open your dictionary with Java Mobi Metadata
Editor, change the existing ASIN entries to B003ODIZL6, save
the file, rename it to B003ODIZL6_EBOK.azw and copy it to the My
Kindle Content folder. (If your dictionary doesn't have ASIN entries, click the (+) button and select 113 ASIN and 504 ASIN.)
Obviously, you'd use the ASIN number of the French monolingual dictionary, if you wanted to replace the default monolingual French dictionary with a bilingual dictionary etc.