This scene was so much fun--I loved the emphasis the props brought to the rakish nature of the character. The gun for example--when you see him put her gun in a drawer filled with little guns you know that Maurice Chevalier's character has done this many, many times before. And then when he zips up his lover's zipper and says 'voila'--you learn so much about him. He is so casual and familiar with the situation.
Instead of showing the argument at the beginning, the audience hears it through the doors, forcing you to feel that you are eavesdropping. This becomes even more pronounced when the fourth wall is broken, and you feel like a voyeur. This is so interesting--a way of getting the scandal of the situation across without really saying anything.
I think a lot of code-era musicals still have hints of naughtiness, but they are much more discreet, and what is said has to be gently implied rather than stated outright. Also, there has to be consequences for this kind of infidelity--nobody gets to just get away with it. Alfred is recalled to his fictional country, and his lover is caught by her jealous husband.