Also:
http://www.le-dictionnaire.com/definition.php?mot=archimage
I'm not saying the word doesn't exist, clearly it does, but that site doesn't really qualify as an official source for the Académie fran?aise. Let's face it, only nerds and RPG players use archimage/archmage so it might take some time before dictionnaries like Oxford, Le Robert (in French), etc. put it in. It's all about usage. New words that are massively used make it quickly - words that are barely used take much more time, if they make it at all.
Interesting topic nonetheless. I have studied a bit of linguistics (but mostly with regards to French) and also History of the French language and History of the English language (closely related at some points) so it's interesting to me.
My Latin and Greek is a bit rusty but like someone mentionned it probably comes from the Greek Archon (ruler) or even Arche (the origin of something, the first thing, the dominant thing) which is why I mentionned "First Mage" earlier. It's pretty much the same thing as "Ruler of Mages".