On page 46 of the simple manual for the FL-36, under the Section '4. Combination with camera's built-in flash', it is stated that:
When the camera in use has a built-in flash, it can be used simultaneously with the electronic flash.
. Advanced shooting techniques are possible. For example, you can bounced the light from the electronic flash off the wall or ceiling while using the camera's built-in flash for a catch-light effect.
. With certain camera models, the built-in flash may be disabled when the electronic flash is mounted on the camera's hot shoe.
Note: The electronic flash control mode should be set to TTL AUTO or FP TTL AUTO.
I know that both the FL-36 and built-in flash could definitely be used with the E-300 and E-330 in the way described in the manual. Owners of the E-500 who have the FL-36 might want to put the manual to the test for themselves.