You can't take $a$ arbitrary ; the only $a$ that works must be $1$.
Assume that the roots are closed under multiplication, and let $\alpha \neq 0$ be a root of $f(x)$ and $n = \deg f$. Then the set $ \{ \alpha, \alpha^2, \alpha^3, \dots, \alpha^n, \alpha^{n+1}\} $ must contain two elements that are the same, i.e. there must exists $1 \le i,j \le n+1$ such that $i < j$ and $\alpha^i = \alpha^j$, which means $\alpha^{j-i} = 1$. Therefore the roots of $f$ are roots of unity.
Furthermore, the set of roots is finite, closed under multiplication and inverses (since if $\alpha^d = 1$, $\alpha^{-1} = \alpha^{d-1}$ which is in the set of roots because $\alpha^{d-1}$ is a product of roots of $f$). This means that the set of roots forms a group under multiplication. Since this group is a finite subgroup of $F^{\times}$, it is a cyclic group, hence generated by one element $\alpha$. Let $d$ denote the order of $\alpha$. Then the roots of $f(x)$ are $\alpha, \alpha^2, \dots, \alpha^{d-1}, \alpha^d = 1$.
Since the roots are distinct, we now have two possibilities : either $0$ is not a root of $f$ and we have $f(x) = x^d -1$, $d = n$, or $0$ is a root of $f$ and we have $f(x) = x^{d+1} - x$, $d = n$. (Thanks to anon for the comment!)
Since $F$ is algebraically closed, all the polynomials $x^n -1$ do split (with $n \neq \mathrm{char}(F)$ obviously), hence the polynomials you are looking for must be $x^n-1$ for $n \in \Bbb N$ and $\mathrm{char}(F) \nmid n$.
Hope that helps,