For the definition of $F_{n+1}$ to make sense, we need, in addition to the usual axiomatic apparatus of ZFC, a notion of "satisfaction of formulas in $V$." If we have this additional notion and if we allow it to occur in replacement axioms, then we can prove that $F_n(\alpha)$ exists and is countable for every $n$ and $\alpha$, and therefore $F_\omega(\alpha)$ also exists and is countable. The argument is essentially as in Zetapology's answer, with the additional apparatus replacing the "Clearly" claim (which isn't justified without some definability and some use of replacement axioms).
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