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FastCGI Caching does full-page caching, which means changes to output won’t take until the cache is flushed for the requested URI, or entirely (in some cases). Unfortunately, the plugin that used to work with NGINX to aid in flushing the cache has not been updated in a while which makes this a manual process.
Some plugins may work with FastCGI Cache, others may not – there’s really no guarantee as to what will and won’t work unfortunately.
I’ve never ran in to issues with FastCGI (without caching) and WordFence – though I rarely use FastCGI Caching unless there’s a viable solution readily available for flushing the cache and it’s tested across the platform to ensure that it works entirely. As of right now, it’s a manual process, or a custom solution needs to be implemented to perform the flushing.
Enabling FastCGI caching, as you’re experiencing, can have some odd and unintended results from time to time, which is why you really need to test it 100% in development before using it in production.