Potentially!
UK public recycling facilities are set up to deal with domestic recycling and they guard against businesses trying to dump industrial waste at taxpayers expense. They're also nervous of private individuals dumping unusual materials because their processes may not be able to handle them.
My council has an arrangement whereby rate-payers can dispose of almost anything but it's by prior arrangement, I can't just turn up at my local tip and leave a box of radium painted aircraft dials for them to sort out!
Another possibility: sellers were made responsible for the cost of recycling certain products in the UK some years ago, and I think the legislation covers the whole EU. Recycling centres may refuse to take these, again because the taxpayer shouldn't pick up commercial costs.
I suspect you've been bitten by one of these. Either the recycling centre doesn't believe it's domestic waste, or they know its a supplier responsibility. As your supplier is unlikely to want to pay to recycle another firms sales, they want you to prove where the cylinders came from.
I don't know how it works in France, but my Council's 'we take almost anything by arrangement' policy is intended to stop desperate people dumping their dodgy rubbish in the nearest river! Not all UK councils do it, so what happens in recycling centres varies considerably.
I'd ask the local council. Be a comedy of errors if I enquired – my schoolboy French is nowhere near good enough to ask about recycling gas cylinders, let alone to understand the reply.
Dave