The manual I linked above says the same thing. Later on, however, in a section entitled "Battery Specifications," it says that lithium primaries are usable.
Does your manual have a Battery Specifications section?
Just a technical parameters section with no mention of lithium. I entered the serial number at http://www.fenixlight.com/sn_local.aspx and it tells me the LED is a CREE XP-E R2, which is consistent with what the manual says about the LED so its not like they sent me a manual for the earlier version that had the different LED.
WTH, I uploaded the manual here.