As always, take these numbers with a grain of salt, but benchmarks seem to suggest that F# on .NET Core is significantly faster than OCaml [1]. I wouldn't be surprised if that were the case myself given how much work Microsoft has put into optimizing .NET Core for performance.
[1] https://benchmarksgame-team.pages.debian.net/benchmarksgame/...
And how much work Anthony Lloyd has put into optimizing those programs ;-)
https://benchmarksgame-team.pages.debian.net/benchmarksgame/...
I'm also very sympathetic to the non-functional aspects. I think being able to write imperative code easily (and it's surprisingly pleasant in ocaml/f#) is a huge plus.