I stumbled upon them one day in the Invalides, back when I still lived in Paris. If I recall properly, it was around Bastille Day (on July 13th probably) and they were attending a retirement ceremony from one of the heads of the French Army. I remember running into a few ministers too that day.
As you can see the Foreign Legion is not always scary looking. That day they were mostly bored and very hot waiting for the ceremony to start.