Well this is sort of strange that you're having this problem.  I'm not having this issue at all.

There are a few things that I don't fully understand.

1.)  To my knowledge, there is no option for DOF in the render room.

2.)  If you want to turn on DOF, you need to first select the camera that you're going to be rendering the final image with and select it's DOF properties in the  assembly room under the effects tab.

3.)  You can turn on DOF by checking the Enable box in the DOF selection area or you can open up the settings when you choose the edit button and turn it on in there.  It sounds like you're doing that since you can see how to set the focal length.

4.)  If you select the Raytraced DOF option, DOF will be realized during the render.   If you do not select this option, DOF is computed as a post render effect.

5.)  In my experience, this effect can sometimes be impacted by the render size.  You may need to jack up the intensity depending on the image size that you're rendering.

I've never had a problem with this.  If you're turning it on in the edit menu and then turning it back off in the main effects area, that could be part of the problem but you're a more knowledgeable user than that.

Let us know more.

-Kix