Here is a short story of my successful interview in Paris. Thanks to all of you who helped me with this long process.
12:00 -> US Embassy in Paris, one hour before our appointment. Security asks us to come back at 12:45.
12:45 -> Surprisingly, there is no line outside. We are the first to enter. The lady inside asks us if we registered online for this appointment. We answer that we thought we didn't need to do that since we are DV winner. She says that it's only to fill the information to send us back our passports. We can do it from the computers inside the waiting room fortunately.
13:15 -> First call: someone explains the process. We will be called to pay the fees, then we will review our documents and, finally, we'll get the interview.
13:30 -> We got called to pay the fees ($660 for 2).
13:45 -> The longest step: reviewing all the paperwork. The lady is very nice, that helps. She asks for our Police records. I'm surprised she doesn't check from which country I needed to get those PR: she takes only those from France, I need to precise that I had to get one from UAE, where I lived several years. Considering how hard it was to get them, I really wanted her to collect them :)
Then, she asks for proof for financial sustainability in the US. Since I already have a job there, I give my contract and some paychecks. Same for my wife. We also give our bank statements, she just need the one from the current month.
No need for the "Chronopost" enveloppe. They will send back the passports with their own system.
14:30 -> The final interview. As many mentioned before, it was fast and easy. But we understand that only at the end. Before, it's a lot of stress. The agent asks us to answer in English since we live already in the US. She doesn't look at us and asks many straight questions: "what is your job//Where is your child//How long have you been married//How many employees in your company//Plus, other questions more specific about my job..."
At the end, she looks at us and smiles: "Congratulations, your interview was successful." Yahoo!!
3 days after, we got our passports back with the visas. And only 3 days after that, we are back in the US, waiting for the physical GC. The only misunderstanding at the customs: they said they didn't need the x-rays and they ask us for 2 sets of passport pictures. Luckily, I had one spare ones but I've never seen anywhere that I needed to bring some at the border.
We enjoy now the life without being concerned by our visa situation. Once again a big thanks to this great forum and its members and sorry for my imperfect English (jetlag + French speaker) ;)