http://us.battle.net/sc2/en/forum/topic/2030104956 (which includes a blue post saying this is being worked on.)
This has been an issue for me since I bought WoL and now continued into HoTS.
Changing the settings both in SC2 and in the system settings in Mac OS does nothing.
Hitting the f-keys (after disabling the system functions), then just does nothing...does not make the hotkey work...
MacBook Pro 2012 15-inch
Processor 2.3 GHz Intel Core i7
Memory 8 GB 1333 MHz DDR3
Graphics Intel HD Graphics 4000 512 MB
Software Mac OS X Lion 10.7.5 (11G63)
What I will say is...just for the record...no, I am not using a secondary Apple keyboard for this.