I am not confusing anything. Both the Fox News cable channel AND the Fox Broadcasting Company is pre-empting programming to carry the speech live.
Of course, I just checked my local Fox station KTTV and that only means pre-empting "King of the Hill": http://www.fox11.com/sections/schedule/
You may be correct that local stations are allowed to make the call on pre-emption . . . if that's what you were referring to.
Just contacted Fox 5 in NYC, and they are "JIP'ing" "Trading Spouses", and airing the president's speech. ("JIP" is "Join-in-progress"). So it looks like it is up to local Fox affiliates to pre-empt the network feed of "Trading Spouses".