Here's the quote from Murray:
Gilles Jacob was the chief of the film festival at Cannes for many years, and we were working on the film, we were mixing it, and we were getting it ready for the festival. They had accepted the film on principle for competition, but hadn't seen it. So he came to visit us, and he objected to the film. He thought it was too long, but the main thing is the scene where Leland kills Laura. We had done an amazing sound treatment on that. We had thunderblasts, when you see the lights, and we had voices, and we had lots of sounds of the boxcar and the stabbing going into her heart repeatedly. It was very intense. Gilles Jacob thought that it was too much, and he convinced David Lynch that if should be more poetic, so David went away from that scene somewhat rattled, and so he took it to heart and made adjustments accordingly.
I was so disappointed that all of our work was not used, but the scene is very strong. It was a very powerful and experimental thing we had done, but in the wrong way. It was powerfully horrific, but in the end it becomes a kind of release for Laura. Riccardo Muti's music, which they were lucky to be allowed to use, changed the whole scene. The music was so celestial, and the ending ended up being so beautiful.
The other thing Gilles Jacob complained about was all of the subplots, and many of them got taken out.