Compensation for missed connection within EU?

No, the standard rules set out in EU 261 do not apply here, as the delay was not caused by the airline but by a train delay. The aircraft was not delayed or cancelled, the passenger failed to board it due to a prior non-airline-related delay.

EU 261 lays out the rights of airline passengers in the case of delays, cancellations, lost luggage and other issues which have been prevalent in air travel for many years, but it very specifically only contains wording pertaining to flights and airports. It would take a significant legal case to have that wording applied to trains and train stations...

EU 261 applies to all EU member states, EU airlines and foreign airlines operating flights from the EU.

The fact that the train ticket was issued by Air France has no bearing here - it was a train ticket, and the delay was caused by the train issues.

EU 1371 sets out similar rights in the case of rail passengers, but most significantly here is the issue that it is not automatically applied to all rail operators - EU member states get to decide if the EU regulation is to be enacted within their jurisdiction.

France basically exempts all of its domestic rail services from the compensation schemes laid out in the EU regulation (page 7, France is listed as having "Exemptions of all services (domestic, urban, suburban and regional)"), so your issue remains with SNCF itself and its own compensation policies.