what you describe is exactly where you turn it on. Did you remember to save the change in the admin console? When you log out of the admin console and then log back in, did the change stick?
I did click on the save button which then grayed out... I didn't think to log out/in but did that just now and confirmed the change is still there. I also logged in/out on my Filemaker client thinking it might need some activity to trigger the creation of the log but still no success.
Is this a Mac server? If so you may want to completely close the files and shut down FMS (do that from terminal: sudo launchctl stop com.filemaker.fms)
Then do a permissions repair on the machine from Disk Utility.