From what I read [1] this habit of eating cheese as part of the meal is a tradition in France since at least the Middle Age, although until the end of the XIXth century it was eaten after the dessert instead of before. However I can’t find why this happens in France and not in other cheese-loving countries like Switzerland or Italy.

[1]: https://ericbirlouez.fr/index.php/activites/articles/42-une-... (fr)