Fn + Esc does not fix locked F keys... Still have to hold down "fn" to adjust volume and brightness modes

When I hold Fn + Esc (which has the fn padlock), it does not lock the function keys. I would prefer the "media" use for the F keys, but they are stuck in the other mode. I've tried many random things like -  CTRL+Fn+Esc, holding Fn+Esc for several seconds... nothing is working to enable function lock.

Yes, they still work if I hold Fn and then hit the F key, but I'd like to just lock them in as the media uses and be done. Any ideas on how else to get them locked when Fn + Esc is not working?

Thank you!