Hi:
You can change the display value of the "Select" default in a drop down list. Click on "Edit Values" and then click on that "Select" value in the display value column. You can then change the word to whatever you would like. We have used this multiple times with non-English forms since Forms 2.0 was introduced and it appears to work perfectly.
And Cecile, we have had an issue like you describe with the state field/province field and had no issue with it either. We just edited the visibility issue to have two separate conditions: "If Country IS USA, Show State (and keep label as state)" and "If Country IS Canada, Show State (and change label to "Province"). Works like a charm: