I made my body Visible (First Person) but my Hands aren't Visible?

Your script seems fine, my guess would be that not all the bodyparts have loaded in by the time you set up the event listener for the bodyparts. So that's why transparency is not changing.

What I would do is add a wait to make sure that the character has fully loaded, something like this:

local camera = workspace.CurrentCamera
local player = game.Players.LocalPlayer
repeat wait() until player.Character
local character = player.Character
local humanoid = character.Humanoid

-- camera settings
player.CameraMode = Enum.CameraMode.LockFirstPerson -- force first person
camera.FieldOfView = 85 --70 Normal
humanoid.CameraOffset = Vector3.new(0, 0.2, -1.5)

-- set and keep every body part Transparency to its real transparency
for childIndex, child in pairs(character:GetChildren()) do
    if child:IsA("BasePart") and child.Name ~= "Head" then

        child:GetPropertyChangedSignal("LocalTransparencyModifier"):Connect(function()
            child.LocalTransparencyModifier = child.Transparency
        end)

        child.LocalTransparencyModifier = child.Transparency

    end
end

Hope I helped, if you have further questions please let me know