I just missed the name extension /E. these two lines successfully generate my VS and PS fxo files from the same text file described above:
fxc /T vs_5_0 /E VS_FONT /Fo C:\Mygame\Shaders\VSFont.fxo C:\Mygame\Shaders\VSPSFont.fx
fxc /T ps_5_0 /E PS_FONT /Fo C:\Mygame\Shaders\PSFont.fxo C:\Mygame\Shaders\VSPSFont.fx
The fxo files can be loaded as explained in this post : Is memcpy safe to use to fill an ID3DBlob with a pre-compiled shader?.