I believe this is a remnant of some complications with regards to taxation in an international context, similar to duty-free shopping.

Another consideration may be the consequences of possibly diverging tax rates for kerosene: if it's much cheaper to fill up in, say, Spain, than it is in France, it might become cheaper to carry the fuel for the return leg, even if the increased weight increases fuel consumption.

I'm not saying that any of this justifies the state of affairs. But it's possible to arrive at it even with mostly good intentions.