echo "yes" > /etc/pure-ftpd/conf/AllowUserFXP
first line will create AllowUserFXP file, inside of that file, it will writte yes. When restarting pure-ftpd, you should see there a -w parameter. If you see it, FXP is enabled and your problem is other... (maybe some other settings allowing connection from/to in your server, because FXP is highly insecure? you should read pure-ftp doc).