The FUNCTION key doesn't scroll the Function menu on the PSR-E4xx models; it simply calls up the Function menu with the most-recently-used function displayed. I don't know if you're trying to use the FUNCTION key by itself to scroll through the Function menu, but I believe the FUNCTION key does scroll down through the Function menu on the PSR-E3xx models, so if you've ever owned one of those then you might be getting confused by the differences.
Another possibility is that you might be using the -/NO and +/YES buttons on the numeric keypad to try to scroll the Function menu-- a mistake which I often find myself making. Those buttons are used to increment or decrement the value of the displayed function.
To scroll the Function menu on the PSR-E4xx models, you need to press one of the CATEGORY buttons-- one to scroll up and the other to scroll down.
Something else you might want to try is shortcutting to the nearest function in the Function menu, then scrolling up or down from there to get to the function you actually want to change. There are only a few functions that you can shortcut to, and they're usually the ones that you can access by pressing and holding one of the buttons, such as for selecting a Dual Voice to use, or for selecting the Harmony Type, etc. This is generally the most efficient way to navigate to a given function, since pressing the FUNCTION key could give you a different function each time-- that is, according to which function you had last accessed-- and from there you might need to scroll up or down halfway through the Function menu to reach the function you want.