Paris:
All of the places mentioned in Paris are amazing. Dessous d'Apollon is fantastic.
A random place I have found some great gear is a BHV. They carry some sexy underwear that a US based department store would shy away from.
If you are also into socks, stop in at Mes Chaussettes Rouges (My Red Socks). I have never seen a sock store of this quality.
https://meschaussettesrouges.com/en
Some of the bars in Paris have underwear nights.
London:
I went to a Backstreets bar in London back in 2019 and had a great time at a lingerie night. I know they were also advertising for a suit night and I believe an underwear night. Unfortunately that bar has closed, but the lingerie party moved to Bunker Bar. I suspect that those other nights have also found new bars. I would check the calendar of events at different bars.