In French, I must grasp fine gag (4)
I believe the answer is:
joke
'gag' is the definition.
(I know that gag can be written as joke)
'in french i must grasp fine' is the wordplay.
'in french i' becomes 'je' ('I' in French).
'must grasp' is an insertion indicator.
'fine' becomes 'OK' (synonyms).
'je' placed around 'ok' is 'JOKE'.
(Other definitions for joke that I've seen before include "bit of humour" , "Amusing remark" , "someone inadequate" , "guy" , "something in cracker" .)