Thanks a lot for the detailed answer! It seems I found the gap in my understanding.
Well, a tangent vector to f(x,y) lives on the tangent plane z=fx(x-x0)+fy(y-y0)+f(x0,y0) and it is perpendicular to the gradient of F(x,y,z) but, of course, the gradient of F(x,y,z) is not the gradient of...