Yes that's exactly my experience, keypad tones work on the function keys, but not on the numeric keypad. I like the tones, because I like it to sound like I'm dialing a regular phone when I'm dialing a number and the tones make it clear that my key press was registered. The keys on the N86's numeric keypad have almost no travel and I find it a little difficult to tell if a key press has registered or not. With the tones set on the lowest level, I find them pretty inoccuous.
I guess this really is a bug in v20, although when I called Nokia they said they'd never heard of it. I ask again, anyone with v20 have keypad tones working?