Question: "Then, how can I get the scheme-theoretic support? Or where can I find the hint about this problem?"
Answer: If $A$ is a commutative ring and $M$ a finitely generated $A$-module, the support of $M$, denoted $Supp(M)$ is the closed subscheme $V(ann(M)) \subseteq S:=Spec(A)$. Here $ann(M) \subseteq A$ is the annihilator ideal of $M$. There is always a map $\rho: \mathcal{O}_{F_e} \rightarrow End_{\mathcal{O}_{F_e}}(F)$, and the annihilator $ann(F):=ker(\rho) \subseteq \mathcal{O}_{F_e}$ is the ideal sheaf defined as the kernel of $\rho$. If $U \subseteq F_e$ is an open subset, you get a map
$$\rho_U: \mathcal{O}_{F_e}(U) \rightarrow End_{\mathcal{O}_{F_e}}(F)(U)$$
with
$$\rho_U(s)(x):=sx.$$ You may check that $\rho$ is a well defined map of $\mathcal{O}_{F_e}$-modules. Since $F_e$ is coherent it follows $ann(F)$ is a coherent sheaf of ideals and to it corresponds a closed subscheme of $F_e$.
This defines the support $Supp(F):=V(ann(F)) \subseteq F_e$ canonically as a scheme.