Yes you can buy it also at the ticket desk of a train station, but for this train there are only some seats available for Eurail Pass users, this means that the train can be full for Pass users. 

You can buy also the reservations at the call center of SNCF and you get e-tickets via email. 

One way to make reservations for French trains is to call SNCF. No need of Pass Cover Number. Only some credit cards are accepted, for over seas only American Express. 

https://www.sncf.com/en/customer-service/contact-us/telephone

 Press #85 for English, no booking fees, reservations are sent via e-mail

And as yes, these throughtrains are very few and in hi demand and hence often fully booked-make yourself familiair with the ALT on local TER/rodalies trains and change at border-takes a little longer, can do ev 2 hrs and is completely RES free.