We first rephrase the problem using a simpler formulation. Observe that we are only concerned with $f_n(x)$ for odd $n$. We have $f_1(x)=1, f_2(x)=1+x, f_3(x)=(1+x)+x(1)=1+2x$.
We have
$$f_{2m+1}(x)=f_{2m}(x)+xf_{2m-1}(x)$$
Thus
$$f_{2m}(x)=f_{2m+1}(x)-xf_{2m-1}(x), \; f_{2m-2}(x)=f_{2m-1}(x)-xf_{2m-3}(x)$$
Substituting this into
$$f_{2m}(x)=f_{2m-1}(x)+xf_{2m-2}(x)$$
, we get
$$f_{2m+1}(x)-xf_{2m-1}(x)=f_{2m-1}(x)+x(f_{2m-1}(x)-xf_{2m-3}(x))$$
$$f_{2m+1}(x)=(1+2x)f_{2m-1}(x)-x^2f_{2m-3}(x)$$
We can thus define $g_m(x)=f_{2m+1}(x)$, so that $$g_0(x)=f_1(x)=1, g_1(x)=f_3(x)=1+2x, g_m(x)=(1+2x)g_{m-1}(x)-x^2g_{m-2}(x)$$ The problem reduces to showing that $g_m(x)+xg_{m-1}(x)=0$ has only real roots.
It is easy to see (and easily proven by induction) that $f_n(x)$ has degree $\lfloor \frac{n}{2} \rfloor$, has positive leading coefficient, and has constant term $1$, so $g_m(x)$ has degree $m$, has positive leading coefficient, and has constant term $1$. In particular $g_m(x)+xg_{m-1}(x)$ has degree $m$, so it suffices to show that it has $m$ distinct real roots.
We now proceed by induction on $m \geq 1$ to prove the following statements:
- $g_{m-1}(x)$ has $m-1$ distinct real roots $\alpha_{m-1, 1}>\alpha_{m-1, 2}> \ldots >\alpha_{m-1, m-1}$.
- Define $\alpha_{m-1, 0}=+\infty, \alpha_{m-1, m}=-\infty$, then for $0 \leq i \leq m-1, \alpha_{m-1, i+1}<x<\alpha_{m-1, i}$, we have $sgn(g_{m-1}(x))=(-1)^i$. (Note: $\alpha_{m-1, 0}, \alpha_{m-1, m}$, being $\pm \infty$, are not actually real numbers, but it is more convenient to use $\alpha_{m-1, 0}, \alpha_{m-1, m}$ in place of $\pm \infty$.)
- We have $sgn(g_m(\alpha_{m-1, i}))=(-1)^i, 0 \leq i \leq m$. (Note: $sgn(g_m( \pm \infty))$ is defined to be the sign of $g_m(x)$ as $x \to \pm \infty$.)
When $m=1$, we have that $g_0(x)=1$, which clearly has $0$ distinct real roots. For $-\infty=\alpha_{0, 1}<x<\alpha_{0, 0}=+\infty$, we clearly have $sgn(g_{0}(x))=sgn(1)=(-1)^0$. Also, $sgn(g_1(\alpha_{0, 0}))=1, sgn(g_1(\alpha_{0, 1}))=-1$. Thus the statements indeed hold in the base case $m=1$.
Suppose that the $3$ statements hold for $m=k$. Consider $m=k+1$. We have by the induction hypothesis (statement $3$) that $sgn(g_k(\alpha_{k-1, i}))=(-1)^i, 0 \leq i \leq k$. By the intermediate value theorem (since $g_k(x)$ is a polynomial, it is continuous), $g_k(x)$ has $k$ distinct real roots $\alpha_{k, i}, 1 \leq i \leq k$, satisfying $g_{k-1, i}<g_{k, i}<g_{k-1, i-1}$. (We have shown statement $1$) Since $g_k(x)$ has degree $k$, these are all its roots.
Note that we have $\alpha_{k, k}<\alpha_{k-1, k-1}<\alpha_{k, k-1}<\alpha_{k-1, k-2}< \ldots <\alpha_{k-1, 1}<\alpha_{k, 1}$. Consider the interval $(\alpha_{k, i+1}, \alpha_{k, i})$ for $1 \leq i \leq k-1$. Note that $g_k(x)$ has no roots in this open interval, so $sgn(g_k(x))$ is constant over this interval. Since $\alpha_{k-1, i}$ is in this interval, we have for $\alpha_{k, i+1}<x<\alpha_{k, i}$, $sgn(g_k(x))=sgn(g_k(\alpha_{k-1, i}))=(-1)^i$.
Now consider the open intervals $(-\infty, \alpha_{k, k})$ and $(\alpha_{k, 1}, +\infty)$. Again, $g_k(x)$ has no roots in this interval. Therefore $sgn(g_k(x))$ is constant over this interval. For $-\infty=\alpha_{k-1, k}=\alpha_{k, k+1}<x<\alpha_{k, k}$, we have $sgn(g_k(x))=sgn(g_k(\alpha_{k-1, k}))=(-1)^k$. For $\alpha_{k, 1}<x<\alpha_{k, 0}=\alpha_{k-1, 0}=+\infty$, we have $sgn(g_k(x))=sgn(g_k(\alpha_{k-1, 0}))=(-1)^0$. This, combined with the above paragraph, shows statement $2$.
Now since $g_{k+1}(x)=(1+2x)g_k(x)-x^2g_{k-1}(x)$, we have for $1 \leq i \leq k$ that \begin{align}
sgn(g_{k+1}(\alpha_{k, i}))=sgn((1+2\alpha_{k, i})g_k(\alpha_{k, i})-\alpha_{k, i}^2g_{k-1}(\alpha_{k, i}))&=sgn(-\alpha_{k, i}^2g_{k-1}(\alpha_{k, i})) \\
&=-sgn(g_{k-1}(\alpha_{k, i}))
\end{align}
(where the last equality follows from the fact that $g_k(0)=1$, so $\alpha_{k, i} \not =0$.)
Now since $\alpha_{k-1, i}<\alpha_{k, i}<\alpha_{k-1, i-1}$, we have by the induction hypothesis (statement $2$), that $sgn(g_{k-1}(\alpha_{k, i}))=(-1)^{i-1}$. Thus $sgn(g_{k+1}(\alpha_{k, i}))=-sgn(g_{k-1}(\alpha_{k, i}))=(-1)^i$.
Finally since $g_{k+1}(x)$ has degree $k+1$ and has positive leading coefficient, we have $sgn(g_{k+1}(\alpha_{k, 0}))=sgn(g_{k+1}(+\infty))=1$ and $sgn(g_{k+1}(\alpha_{k, k+1}))=sgn(g_{k+1}(-\infty))=(-1)^{k+1}$. This, combined with the above, proves statement $3$.
Therefore we are done by induction, so the above $3$ statements hold for all $m \in \mathbb{Z}^+$.
We now have $sgn(g_k(\alpha_{k-1, i})+\alpha_{k-1, i}g_{k-1}(\alpha_{k-1, i}))=sgn(g_k(\alpha_{k-1, i}))=(-1)^i, 1 \leq i \leq k-1$. Also, since $g_k(x)+xg_{k-1}(x)$ has degree $k$ and positive leading coefficient, $sgn(g_k(\alpha_{k-1, 0})+\alpha_{k-1, 0}g_{k-1}(\alpha_{k-1, 0}))=1$ and $sgn(g_k(\alpha_{k-1, k})+\alpha_{k-1, k}g_{k-1}(\alpha_{k-1, k}))=(-1)^k$.
By the intermediate value theorem (since $g_k(x)+xg_{k-1}(x)$ is a polynomial, it is continuous), $g_k(x)+xg_{k-1}(x)$ has $k$ distinct real roots. Since it has degree $k$, we are done.
Note that the exact same argument shows that the polynomial equation $f_{2m+1}(x)+cxf_{2m-1}(x)=0$ has only real roots, where $c \geq 0$ is a constant.