We never could get it working. But from what we understand, the fedex module just pulls shipping quotes, and doesn't send info to fedex to print labels, etc. Plus it displays published rates, not actual rates, and we aren't charging published rates.
So what we've done is create our own custom shipping module where we put xx weights and state zones with correct shipping rates, for a total of 77 zones across the US.
Then we go to orders and choose to export the orders into a csv file, selecting the fields recognized by Fedex and adding a few custom fields. After a slight modification, we are able to import that file into the Fedex Ship Manager to print labels.