Why does Future Perfect Tense "sound" as though it didn't happen?
...it seems to me that it conveys a past action that didn't happen/failed to happen.
Well, that's wrong. The will establishes that is not the case.
I know this is incorrect...
Well, good.
...but I'd like to know more about why this particular tense is throwing me off.
No one else can really answer why you're making a particular mistake.
My best guess would be that it's a mix of a) no one using the future perfect tense very often and b) your having misunderstood the future tense. It's the verb in the second sentence that specifically expresses an action that will have ended before another action in the future. The verb in the first sentence merely expresses the action will occur sometime in the future.
Of course, like in Chinese, you can get the same point across without conjugating the verb by using an appropriate adverb to lock it in to the appropriate place in time. That is, in fact, why no one really uses the future perfect all that often in English.
Edit: See here for a few cases where some people use it to describe the past. It needs to be in a particular context, though, comparing the other action to something occurring in the present: "Don't call. It's 9 o'clock. She will have already gone to bed by now." Even there, I'd say it's more slipshod than formally correct, but it is an accepted usage.
The modal will has different functions. In the first sentence plain will is used to give information or make a prediction about the future.
The will have construction in the second sentence, out of context, is ambiguous. Again, it can be used to predict the future - specifically about will have happened before another future event. For example:
I will have finished cutting the grass before my wife gets home.
Or in the current case, what they will have done before another future event (breakfast).
But will have can also used to make a supposition about or express the likeliness of a past event. For example, in the following contrived context.
- Why were they so tired yesterday evening?
- They will have walked before breakfast.
In other words, you are right that will have walked can refer to a past event. But it is not one that failed to happen. It is the speaker's assessment of what probably happened.