Guess my FN LED is broken then, I have some funny wiring up top attempting to mirror WASD on the other side as pseudo backlighting attached to the Poker arrows pin so can't say I'm surprised. From what you're describing you've set it as 'Any Fn Active' and it works as it should.
Windows problems? No idea I'm afraid, the debug/error messages are not the best. Everything should work with the standard .exe version as far as I understand it, but I'm in Linux running the python version and it's all good...
The LEDs staying on when the computer is off is a motherboard feature - most turn off but some boards always keep power to some USB ports which is handy for charging stuff, but not for unwanted lights. It's worth trying another port but if you have no luck your only option is one of those auto power off plugs that disconnect the mains when it goes on standby. Why only one of the LED positions? I guess it doesn't boot past the bootloader so all pins are in their default state and only that one is powered up
I did manage to compile the firmware with my mod in place and loaded and built a keymap against it, but it didn't have the desired effect - holding the key repeatedly toggled shift which is not helpful.
Turns out Atmel studio doesn't work in windows 7 and the only device I have with anything later is a little tablet which is frustratingly slow, has a tiny screen and only one USB port - it's not an idea development environment! Can't get that version to install on a virtual machine either, and as it's tablet can't just pull the hard drive and clone it. It's not forgotten, just need to accept that there's no better way and get on with it
)