Wow, that is a great system but leaves lots of options!
OK, I think Cosima is a great middle name to all his French options and should be followed by a single syllable English name like Rose, Faith, Belle, Grace, Claire, etc.
Cosima as a first name also works with a single syllable between it and the French name, especially so that the end 'a' doesn't run in to the first 'a' of two of them.
I just wouldn't be so keen on having 2 girls with the same first initial.
Other English names like Harriet, Rachel and Zoe could go with your existing names?
Aimée Cosima Rose
Aimée Cosima Faith
Amélie Cosima Wren
Amélie Cosima Faith
Mathilde Cosima Belle
Cosima Rose Mathilde
Cosima Grace Mathilde
Cosima May Amélie
Cosima Rachel Mathilde
Cosima Zoe Mathilde
Harriet Cosima Mathilde
Zoe Amelie Cosima
I don't think Henri and Olivier would work so well r-wise with Rocco as a middle name so I would put an English one in between. I am sorry but I don't have clue how you pronounce Loïc so I won't even try to add to that one!
Henri George Rocco
Henri Joseph Rocco
Olivier Matthew Rocco
Olivier Joseph Rocco
Rocco George Olivier
Rocco Frederick Olivier
Rocco Frederick Henri
Rocco Samuel Henri
Rocco Giles Henri
Rocco Giles Olivier
Do any of those appeal at all?