I dug deeper and found the answer on Invensense forum.
The answer to my question is NO. I cant do FSR_250 and use DMP.
http://www.invensense.com/developers/forum/viewtopic.php?f=3&t=1096&p=4631#p4631
"This is a know bug on our end. 2000 DPS is the only full scale range the MotionDriver firmware currently supports for the gyroscope."