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}– DG' Nov 30 '20 at 09:27\selectlanguage{french}after your redefinition, that will reset the caption names. – Ulrike Fischer Nov 30 '20 at 09:36