Are you filling a vector shape or a marquee selection? After you've set the gradient type to linear, click on the fill color box in the propeties panel to open the gradient editor. Let me know if that works.
It seems that after I select Linear from the drop down dialog then click back into the color box the settings generally take. If I click outside anywhere else the setting does not take. This is a serious bug I think. I have all the updates from Adobe. I never had this problem in past versions.
This happens on any selection from a normal box fill to any selections. It seems to be something with the dialog box that pops up after selecting 'fill options'.
BTW I'm on Win 7 SP1 64bit 8GB Intel in case Adobe needs to correct this.
I've never experienced the peoblem myself, and you are the first person to do so. Can you post your Fireworks version number? You'll find it if you click on Help > About.