>For the frontend, the translation does not use the .mo file. That is true ?
no, when installing, the translation initially inserted/used comes from mo file. once installed however you cam change it as you like and the mo file does not get used anymore for those localization strings.

for this to work in french though , you (someone) would have to translate it into french of course, otherwise the default strings in wppizza->localization will be in english as there is no french to insert

>Is it possible to load into settings > localization translations .mo?
see above

not quite.
if you *add* english as a second language, the english default strings get inserted into the string translation of wpml. once they are inserted there you can change those too in the string translation. As with all other languages, the frontend strings only get used the first time you add a new language, after that you can edit them in wppizza->localization or WPML

furthermore, the mo file of course still gets used for all other admin translations (i.e explanations as to what options do etc).

PS: The plugin supports WPML, I do not know anything about what your LOCO plugin does or whether it is WPML compatible