The reason FM synths need to be digital is that very precise pitch ratios between oscillators are important in order to get good sounds. For example you may want to modulate the pitch of one oscillator with another exactly a fifth up (3 to 2 frequency ratio). It can easily sound terrible if the fifth up oscillator goes slightly out of tune.
These sort of precision and nonlinearity in output are also one thing that makes FM synthesis a lot harder to use.