To translate or not to translate

Something that has always baffled me about languages and translation is the general inclination to translate place names. There are some places that stay the same in every language - Canada stays Canada no matter what language you're speaking - and some translations of places make a bit of sense, like calling the United States "les États-Unis" or the United Kingdom "le Royaume-Uni." However, why in the world have the French decided that it is necessary to call London "Londres?" Why does Mexico morph into "Le Mexique?" And it's not just French; all languages are guilty of this kind of appropriation of place. Why, for example, do we Anglos call Firenze "Florence," for pete's sake? Why don't we just leave it alone?

One of the big dilemmas I have in translating this novel is deciding when I should just let well enough alone. There are so many instances where I think I should translate something, but could just as easily leave it in French and that would be okay too... Some of the notable examples are the titles of paintings.
This is La Mort de Marat by Jacques-Louis David.

This one is Le Radeau de la Méduse by Théodore Géricault.

And this one, L'Origine du monde by Gustave Courbet.

These are by French guys who painted them in the 18th and 19th centuries. They're all pretty famous, and so they have generally accepted translations of their titles (The Death of Marat, The Raft of the Medusa, The Origin of the World), but they are paintings that are sort of household names that many Francos would recognize immediately, just as we Anglos would recognize references to paintings like The Lady of Shalott or maybe American Gothic. Is it necessary to translate them? Does it matter? Would it make the text more or less accessible? I think that for the Anglos who, when reading the English translation, would get the reference, they would understand the titles in French, and if I translated them, it might even be less comprehensible. But the main issue is maybe less about whether the references will be understood than about the aesthetic of the thing: I sort of want to leave them in French just beacause it sounds cooler, doesn't it?