He is an ambassador in Denmark and his time has elapsed. I have to check why his (automatic) return is not implemented. This said, you can move him by land back to French land using the various straits that link Sjaelland (the island of Copenhague) to the continent (via Korsor, Svendborg, Odense, Fredericia).
We had a few jump links that were not working properly in vanilla version (mostly in southeast Russia), but may be the Danish straits are also damaged. In all case, the links will be checked and improved inside the forthcoming patch (this coming week most likely)