If you’ve recently paired the FE599 with your hub then you won’t receive some events due to a bug in the hub firmware. You can read about it here and send an email to ST support about it so they can prioritize fixing the bug. Push Notifications for Schlage Lock Not Working (April 2019)
After it’s fixed you can set it up as you explained or use an app like LUM which has a customizable auto relock option.