For my work the things "missing" from other ML-family languages are a) rock-solid bindings to commercial RDBMSs and b) an easy way to make simple GUIs. The .NET platform gives me those "for free" and F# is sufficiently close to OCaml that it's an easy transition.
Learning my way around the .NET libraries (having never been a C# programmer) is the biggest hurdle. Last time I did this sort of thing on Windows, MFC and ATL were all the rage...