It turns out that the VFP example files don't work.

Here is an excerpt from Bloomberg tech support:

"Yes you are right. The data event handler is not exposed in the Fox Pro development environment and we are currently in the process of investigating this further. Unfortunately, we are not expert in Visual Fox Pro and hence we do not have an estimated time frame as to when will be able to determine the cause of this behavior. Please note that this behavior is not observed in Visual Basic and hence if you are considering to moving to Visual Basic then please let us know and we will be glad to point to many VB examples that cover all the major type of requests.
We will update you as soon as we have the results of our investigation. We
appreciate your patience."

If you are a New York hot shot, offer your services. I'd love to be able to get the data via Fox.