The film is not 'about' the French Foreign Legion, it is about masculinity. Getting hung up on aspects such as "all they seemingly do is housekeeping and what appears to be pointless training" is missing the point. They are not meant to be reflective of actual military exercises - it is deriving these exercises (dances, really) from the opera by Britten in the 50s.
Denis' film-making is intentionally atypical and unconventional. The plot itself is thin. The ending is widely regarded as one of the best, especially as a continuation of Denis' overall theme of subverting expectations. But, her stuff is not for everyone.
There are a lot of old films centring around the French Foreign Legion. Newer (and much more easily viewable ones) involve a lot of Jean-Claude Van Damme, like Legionnaire & Lionheart. March or Die and Savior are others.