...
I then saved, closed down, reloaded, clicked on my NPC in the cell and pressed CTRL + F4 and nothing happens. I cannot make facegen for my NPC.
...
You need to select the NPC in the Object Window, not in the Render Window, then hit ctrl+F4, did you try that?
All my NPC's have correct faces, I don't even need to reload, after exporting the face gen data. But the default player you get after coc from the main menu has a grey face. But since this guy is only needed for testing purposes, I don't really care...