Martin
PFE only knows the waypoints in the FS flightplan you have converted to a PFE. Whatever you may have in your FMC is irrevelant.
Takeoff vectoring has an aim to get you from the runway to the first waypoint. To do this I believe PFE uses the departure files that are built into FS9/FSX. These may appear at times to coincide with a SID you have in the FMC, that is a coincidence. At other times you may feel you are being vectored "away" from your first waypoint. You need to be patient and let ATC vector you according to the departures that are in the SIM.
As long as you have chosen correctly what is your first waypoint (not too close to airport), you will get vectored there.
If I am wrong on how PFE decides on vectoring perhaps Dave will enlighten us.
Peter