I have no idea. I just looked at the atptennis.com listing of all results, and Federer didn't have any Futures listed, just challengers.
Other interesting info - Roddick played three futures, and lost in the first round of all of them. So he didn't "work his way up through futures", he just played a couple, but they're not what got his career going. Djokovic also did not play any Futures.
Nadal did work his way up through futures - he played one futures in 2001, lost in the 1st round. Came back in 2002, played something like 10 Futures tournaments, and they did help get his ranking up.
I picked some other players to look at. Sam Querrey played 8 futures tournaments. Gilles Simon played lots - 32 futures tournaments for him, going from mostly 1st round losses in 2002 to the occasional deep run in '03 to consistently getting to the later rounds and/or winning in 2004. Same for Juan Martin Del Potro, who played 24 futures tourneys, between '03 and 05. Same pattern - lots of 1st round losses early, progressing to wins by the end.
So yeah, while the best of the best can skip over them pretty quickly, and those who have the support of a big tennis federation like Querrey did can go through wildcards, even players like Simon and Del Potro - top 10 guys, though not dominating players - can spend a year or two playing lots of futures tournaments. It's not just the guys that are stuck at that level forever.