You just took the wrong ligature. The æ is actually something different than ae. The sound is different. What is being meant here, I think, that if in the text there is for example 'fi' that ADE wants to use the ligature for that. However, if you use your own fonts and have subsetted this (so, removed all the characters you don't use), it will not display the ligature since it is not in the font.
Oh, and the feature in Calibre is still experimental.