There is a multicore runtime in the works, with an ETA of "when it's done". That said, you have a couple of full-featured monadic concurrency libraries (Lwt and Async).
It also has functors (they let you parametrize a module over other modules), which F# doesn't, and you can do AST rewriting at compile-time via PPX (don't know if F# has anything like that). On the other hand, F# has access to the .NET ecosystem (which is admittedly larger than the OCaml one, though it suffers from enterprisitis), and has some nice goodies like type providers.
FYI, my Hopac library (https://github.com/Hopac/Hopac) is also a full-featured monadic concurrency library, inspired by Concurrent ML, for F# that is optimized for parallel programming.
It also has functors (they let you parametrize a module over other modules), which F# doesn't, and you can do AST rewriting at compile-time via PPX (don't know if F# has anything like that). On the other hand, F# has access to the .NET ecosystem (which is admittedly larger than the OCaml one, though it suffers from enterprisitis), and has some nice goodies like type providers.