Should I get in debt for HEC Paris?

I have graduated from the same program a few years ago. It's difficult to give you a straight-forward answer without knowing your alternative (have you been accepted to other comparably ranked business schools?). 

That being said, HEC Master in Management is probably the best branded Msc in France and one of the premier ones in the non-anglosaxon word. From a structure perspective, some of the pros are: (i) gap year in between 2 academic years to pursue longer, off-cycle internships; (ii) highly ranked specialized masters for Year 2 in both strategy and finance (there are others, but I would recommend these 2 if you are pursuing MBB or IB). Some of the students will be content with brand name, and will be more engaged in extracurricular activities than actual coursework. If you keep a balanced approach between coursework and extracurriculars (student clubs, etc), this will give you a chance to network (important in all business schools, probably in France more than in other countries) AND have a higher GPA than your peers (they use a bell curve, you do the math). On networking: MBA and EMBA students are on campus. It sounds silly, but hang out with them, these guys either have jobs in places that sponsor an expensive MBA or will be positioned to get jobs at institutions that value and compensate people with a well-ranked MBA... good contacts to have either way. 

I assume you have been accepted in the program taught in English. This means your class will mostly be international, and you'll actually have to put effort into improving your French (there will be very few French students in your class, the ratio in mine was ~80% non-French): if you specifically want to work in France after, this is a non-negotiable, especially if you go for consulting. If you play your cards right, you will have a signed offer before graduating and you should be best positioned to access high-paying jobs. Therefore, if you go for the "traditional" consulting / IB route, I think HEC is worth the investment. But you are right in saying debt will be a monkey on your shoulder if you want to go the entrepreneurial / less beaten route. 

Do consider that HEC's brand equity drops very significantly if you move to UK / USA, they have a much more "stringent" concept of target schools, but e.g. moving to London or New York after a stint somewhere in Paris is absolutely in the cards. This does not mean that HEC is not well regarded in London, but you will be considered on an equal standing vs people that have done schools in the UK which are perhaps less highly ranked in international charts like the FT one. 

So... look at your options: do you have equally ranked opportunities elsewhere / cheaper ones that are not significantly less prestigious? If the answer is no, go for HEC.