To answer my own question after my experience:
You can collect Western Union payments in any "La Poste" that does Western Union.
From my experience do the following:
- Write the Reference number in a clear and neat way on the cash
receival form, from what happened to me the women mistyped the code
and then said it was not her fault.
- Take more than just your Passport , have a drivers license there as backup incase they think you are a fraud.
- Have some French phrases prepared as the La Poste staff do not speak English very well and do not mess around, they will not go out their way to try and help you even if your a tourist.
- Prepare some French phrases and anticipate what they will say, for instance when they accused me of having the wrong Western Union reference number I said, "J'ai confirme sur la telephone avec Western Union", roughly translates to that you confirmed the validity of the number.
- Go early, less people and queses and the staff will be less grumpy.
I got my money in the end , but it was a stressfull experience. It really makes me appreciate the Royal Mail back in the UK.
Hope this helps!