Unix support is definitely better than Windows. That said, the core language and base libraries are pretty portable. Here's one nice retrospective on a move from Python to OCaml for a program that needed portability to Windows as a fundamental concern.
http://roscidus.com/blog/blog/2014/06/06/python-to-ocaml-ret...
Probably the biggest problem on Windows is that OPAM, the package manager, doesn't work there. That will come eventually, though.