"I think that using a custom build step is "cheating" to some degree in that you can add arbitrary features by adding language-external post build processing"

I guess, but: source code is still standard C#, it gives you pre-runtime static verification. As far as I understand Roslyn will support this kind of extensibility in a straightforward way. It is still better than unit testing same stuff in my opinion (except for specifying units in comments).

"By being built into the language" - do you mean F# code that uses units of measure wouldn't compile to OCAML (I am talking about simple compilability rather than proper support)?