Here is a stand-alone proof:
Assume $f$ has no root in $F$. Let $b = \sqrt[p]{a} \in E$ be a root of $f$ (which exists by assumption).
$E/F$ is an abelian extension, hence all intermediate fields are again Galois extensions, in particular $F(b)/F$ is. We deduce that $F(b)$ contains some other root of $f$, because it is a normal extension. Any other root has the form $b\zeta$, where $\zeta$ is a $p$-th root of unity (and thus automatically primitive). We obtain $\zeta \in F(b)$, i.e. $E \subset F(b)$ and thus equality. In particular the minimal polynomial of $b$ over $F$ (which is some irreducible factor of $f$) has degree $[E:F]$.
We can do the same with every root of $f$, hence all irreducible factors of $f$ over $F$ have the same degree, namely $[E:F]$. Since those degrees add up to $p$ and $p$ is prime, we deduce that there is only one irreducible factor, i.e. $f$ is irreducible over $F$. This shows $p-1 \geq [E:F] = [F(b):F] = p$, clearly a contradiction.