I would be very surprised if Queen Elizabeth had worn Mrs Greville's jewels before the latter's death in 1942. Wearing the jewels that a defunct private person has bequeathed to you is one thing, wearing these jewels while the person is still alive is another one... and I think it would have been deemed most inappropriate for a Queen!
We should also remember that the Quai d'Orsay (seat of the French Foreign Ministry) was until the 1960s used as a residence for hosting foreign guests on official visit to France. In 1938, King George VI and Queen Elizabeth were hosted at the Quai d'Orsay, which was lavishly refurbished prior to their visit (there are still two beautiful bathrooms in Art Deco style, in gold and silver overtones, which were made for the British State visit in 1938, and which can still be seen on the 1st floor of the Quai d'Orsay when it is exceptionally open to the public).
So the return dinner probably took place at the Quai d'Orsay, and not at the British embassy (though this is just a deduction).