FM is normally transmitted at much higher frequencies (~ 100 Mhz rather than ~400 kHz). Your monitor pixel data will have components up at 100Mhz, but they'll be much smaller.
The math to generate an AM signal is fairly trivial (just multiply signal by carrier and re-quantize to the pixel clock). For FM, the math is much harder, although still doable.
And why doesn't it work for FM? Is it a software limitation or a hardware one?