It's not. I actively refuse to use Windows and have never had any trouble installing or using F#. I've only really used it in the last 1.5 years or so, so maybe what you claim was true in the past, but it is not true anymore. There are other reasons to not like it though. For me those would be a lack of HKT and functors, and its primitive compiler optimization due to relying heavily on a VM built for a very different language.
Though, candidly, OCaml has historically been a pain to deploy on Windows outside of some very Cygwin specific setups. The OCaml group has made a lot of improvement as of late, but so has F# on Linux.
