The reason this story takes place in France was due to the fact the 1984 Summer Olympics were being held in Los Angeles. Because of the enormous number of visitors expected for the Olympic games, many studios and production companies decided to either shut down production for the duration or work in other locations to avoid the problems a large influx of tourists would cause. While the show could have been produced in other U.S. locations, filming in Europe made more sense as Steele had spent his earlier life in Europe and this provided for a number of possible story lines. As a result they spent a couple of months there and produced five episodes for the 1984-85 season. Filming overseas would also help sell the series in Europe when it would later go into syndication.
There are multiple references to To Catch a Thief (1955). Steele runs along rooftops as part of a robbery. They are on the French Riviera, adjacent to Monaco as the setting for the movie. Steele's renting of the motorcycle is under the name John Robie, Cary Grant's character name in the movie.
While escaping in a motorboat, Steele says he'd like to live to fight another day, eerily similar to the title of his last Bond film in 2002, Die Another Day.
Steele insists Mildred go into the casino and suggests baccarat as a good game to play. Baccarat is the favorite casino card game of his future portrayal of character James Bond.