Going off memory, I believe the default keybinding is actually Keypad-Enter to insert the marker, which I think is actually slightly different than Fn+Return, but don’t quote me on that. There are several idiosyncracies with Apple that they do different from everyone else, but it has been a bit since I tried to do what you are doing on a Macbook Pro or Powerbook.
One of the main things I’m struggling with at the moment is this issue in terms of markers.
I had to reset the key bindings to just be the return key for when I’m adding a marker from play point. I tried to hold down the fn key at the same time but it would still just come up with return.
I might need to set it up with cmd return or something similar, but to me fn seems more intuitive in this instance.