Hi Giulio,
when I want to set a bookmark with the Command-F2 shortcut, I need to press the Command key first, the 'fn' key second (otherwise the F2 key increase the brightness of the screen instead of passing the value to the application), and F2 last.
If I press the 'fn' key first and the 'Command' key second, the bookmark is not set.
The behavior you describe is not limited to TextMate as you should see it happen with any program that includes an F* key combo along in some chording sequence.
You can either get used to this "feature" anytime that you need to do a key combo that includes any function keys (so, you just have to press the fn key *right before* the function key), or you can switch the behavior of the F* keys in the Keyboard Preference Pane by turning on the check box that says "Use the F1-F12 keys to controls software features".
I chose the latter of the two options :-)
HTH, -steve