After reading polyglossia documentation here is what I ended with
\documentclass{book}
\usepackage{polyglossia}
\setmainlanguage{french}
\begin{document}
\gappto\captionsfrench{\renewcommand\chaptername{CHANGED}}
\chapter{Test}
Lorem ipsum.
\end{document}
but the chapter name has not changed. What is wrong ?
\gappto\captionsfrench{\renewcommand\chaptername{CHANGED}}
in the preamble. Move the line between\setmainlanguage{french}
and\begin{document}
\selectlanguage{french}
after your redefinition, that will reset the caption names.