Hello
This is actually NOT a Windows feature. It is hardware/firmware feature, so you will not find a way to disable/enable Fn key lock via Windows.
Also, because this is a wired external keyboard, the setting is usually controlled by the keyboard itself, not by Windows or the HP computer BIOS.
The BIOS options such as “Action Keys Mode” normally apply to the laptop’s built-in keyboard. If your HP BIOS does not show that option, that is not unusual for a desktop PC.
Is it a speciality keyboard or gaming keyboard? What's the keyboard's brand and model?