I assume you are connecting to the physical display (you may have installed the free version). NoMachine changes nothing on the keyboard, it simply treats raw keyboard events on the client and on the server those raw events are translated in a meaningful symbol on the basis of the current keyboard layout of your system.
To reproduce keyboard events NoMachine uses the virtual keyboard provided by x.org. It’s possible that this virtual keyboard is set to the default US layout and not the French one.
To check this and change it, there is another thread with the same problem: