I also prefer to avoid chemical fragrances when possible, due to sensitivities. I was considered 'environmentally ill' for nearly 7yrs to the point I could barely go in public. That's how I got started making stuff. I still have to be super-careful, for example when taking a cab the other day, they had an old pine freshener in the car. Wasn't strong, but that slight whiff of the fake-pine was instant migraine. Natural pine, juniper, cedar, fir, etc do not do this.
It's trial and error, but I do use FO for a few things, and have found some that are 'safe' relatively speaking, for my sensitivities, and appear to be ok for many others with similar issues who have used my various products. I found a nice coconut-mango, a gardenia (ok from one supplier, but another makes me react), a cucumber-melon, and a baby-powder scent. I think that's all I'm ever going to try in FO, no sense pushing things!
everything else I want to make is doable with EO's. They do cost more, but my target, when I get to that point is people with sensitivities like my own, and we tend to pay more for stuff that we know won't aggravate our sensitivities.
I mainly use them for scent in soap, but I use them for other benefits in the other stuff that I make. That being said, I do sometimes blend EO and FO to achieve a specific scent -- like with baby-powder scent -- I have no idea how to create something recognizably similar with EO, but it took me a long time to find a FO that I don't react to.