Crappy windows support for OCaml. F# is similar to OCaml, but is very difficult for beginners and those not familiar with .NET. I also don't see a lot of beginner material for OCaml.
A good beginner book for F# is a good idea.
The beginner material is kind of true as well, although I do believe that the little beginner material that exists for OCaml (pretty much just the official documentation/Learn OCaml and Real World OCaml) are much easier to get started with than the tutorials of many other languages. OCaml's learning material is pretty short and to-the-point, and I found it to be a good set of boot-strap knowledge: I pretty much learned the core language in 3-4 days or so and then went on to explore the various libraries, tools, and language features not covered by the basic tutorials at my own pace.