Steps to replicate:
- Run HapticKey
- From Menu Bar, change the HapticKey setting to 'All Taps on Touch Bar'
- Haptic feedback happens correctly for all Touch Bar keys
- From Menu Bar, change the HapticKey setting to 'ESC and F1, F2, etc. Keys'
- Press fn to show F-keys -> no haptic feedback
My settings:

My system:
HapticKey Version 0.5.0 (16, 23. Mar 2020 at 7.53, 0c50474)
macOS Big Sur 11.0.1 (The issue occured with the latest Catalina as well)
2019 16" MacBook Pro