MDF panels are vulnerable to moisture but there is new panelling specifically for showers which is 11mm ply - See the following discription from a random website. In UK not sure about France as we have not yet looked.
Shower Wall Panel Kits
A stylish alternative to tiles inside your shower enclosure with NO GROUT LINES for easy cleaning and maintenance
Made from 11mm thick Laminated Plywood, with metal polished silver corners and end caps
Our shower panel kits provide all you need for panelling a 1200 x 900 shower enclosure. If your enclosure is smaller than 1200 x 900, then you can easily cut the panels down to size.
The panelling is sealed using the sealant supplied. Run a bead of sealant inside the corner profile, and the end caps, and the panels slot into the sealed grooves, making a completely water tight seal. Guaranteed for 10 Years!