Hmmm.... I just checked and 1.5mm fits all my Fender saddle scews. I'm not sure if I have ever seen a hex screw smaller than 1.5mm on a guitar, though I suppose it's possible.
Did you try the wrench in more than one of the screws? I only ask because sometimes gunk and stuff can get into the holes and prevent the wrench from going in properly (especially on the bass string saddles). If this is the case, just use a small segment of a G string to dig all that stuff out.
What make/model is your guitar? And from what country? I think the Japanese models could be different, or your hex screws could be SAE instead of Metric.
Ryan