As much as I adore the Southeastern part of France and Monaco, I don't see it working in a GTA game, the series just lacks the finesse. That's not to say I wouldn't like a free-roam game set in the area though, quite to the contrary, a well done crime game (with the emphasis on crime, not shoot 'm up like GTA) set there would be marvellous. I'm actually surprised there is no such game yet.
You are probably right about a GTA game lacking the finesse if we are talking about running around carjacking people, shooting people randomly, and generally acting as people tend to behave in GTAOnline, I will definitely agree.
However, if you focus on well planned heists (supposed to be in GTAO , who knows if they will come!) , racing, tennis, casinos and gambling, and the shadier elements of high society it would definitely be a winner. It is the freeroam madness that would kill it.
Not that i'm actually crazy enough to think Rockstar would do this - It is just something fun to brainstorm considering how woeful GTAO currently is.
I'd love to see an entire game set in this area with a much more mature theme, as you mentioned, but it probably wouldn't happen as it would not appeal to a large enough fan base. Most gamers are teenagers who have never even heard of the place.