I also have a vaio (VGN FE-21B) and just yesterday installed on it windows 7. I have the same problem with the fn keys.
First I tried the utilities from my initial install packages (the ones for xp), and of course it did'nt work.
Then I tried installing the utilities in compbatibility mode, and that did't work also.
I just tried installing them the way you mentioned at the beggining of the post (in the specific order), but that did't work for me, though everything seems to be installing fine.
My fn keys still don't work!
Also, when installing and reinstalling the utils, some uninstall their drivers, and then I need to reinstall them.
Any ideas?