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In this release of FDM for drill through you simply need to enable the "Use SSO" integration option and the "Enable Drill Region Load" integration option.
This will create a extra .dat file at export/load to HFM which contains the drill region data that is then loaded to the <HFMAppName>ERPIURL and <HFMAPPNAME>_ERPI database tables in the HFM Database. These two tables are what cause the "Drill Through to FDM" icon to show in the HFM Data Grid.
Make sure that these integration settings are enabled and then re-run your export/load to the HFM Application.