The iZ Ozone and RX installers are in the Sound Forge Pro <soundforgepro14_dlm.exe> main installer file, just check-mark the items you wish to install. The Ozone registration procedure initiates when the Ozone the plug-in is opened. SF does not need to be reinstalled, so uncheck that.
btw, welcome to the Magix Sound Forge users group @Anders-Dahl
In "Options> Preferences> VST Effects", confirm that one of the ''VST Search Folders' points to where the Ozone VST <.dll> file is. Many VST plug-ins are put in "Program files> Steinberg" by defaut, Confirm it is listed in the SF's VST directory and it is check marked.