Ok, here is how it works:
when you are running a dashboard (EvoX, MSDash, Avalunch, Xbox Media Center, whatever) it will be FTP support. This is because the dashboard contains program code that creates a FTP server on the xbox and shares all its content. This means that you can connect with FlashFXP and so on.
When you launch a game the dashboard will be shutdown and the game will be executed. The games does not contain any FTP server support. This means that you can not connect since there is simply nothing that will accept your connection and do something with it.
Hope that cleared things up...