Radio control via Sync depends on which radio you have. I can't comment on your situation exactly since we're in different countries, but as an example:
I have an F-150 XLT which has the base CD Player / Satellite radio and SYNC system. I can use Sync to ask for directions or to play music from a bluetooth phone but can't control the radio or climate control.
My cousin has an F-150 Platinum which has the Sony navigation radio with 8" touch screen and built in DVD player and 700 watt subwoofer. He can control everything, including the radio with his SYNC. I'm not sure if he can change the temperature, but i think he can. We both have the same model year and model vehicle, he just has a better trim level.
Thanks for your comments. I don't think that the Radio model or trim make a difference in this instance. When I returned to the dealership and queried the reduced functionality. They told me that the demonstrator, same model, spec etc as mine, only 2 months older, had the old sync version in. The salesman confirmed this. Yet his manager was not aware that the demonstrator was equipped with the old version of sync. He said that he would make sure that the anomaly would be pointed out to prospective buyers.
My model doesn't come with satnav or climate control but if it had the salesman said that that as per the radio function the voice control would not be functional on either satnav or climate control.
Unless the sales team are telling me a load of old rubbish to fob me off it looks, to me at least, that this new version of sync is not as good as the last one.