The only reason why this could happen in a real campaign is if you don't have that custom field in your list, otherwise it will parse, i have just tried now.
If you are sending test emails from the campaign, then this might happen if your list has no subscribers at all.
The custom field is present. As I said [FNAME] without filters works correctly.
Yes, I'm sending a test name not a real campaign, but I actually have 4 test subscribers. Do you want me to make a screencast?