I started learning F# a few weeks ago and feel the same way. The language is very nice, but so much of the .NET ecosystem is Windows-specific. I've run into a handful of libraries that would be useful, but I cannot use them on my Mac. To be fair, there are quite a few libraries that do work.

Furthermore, much of the documentation assumes a Windows environment. Getting a development environment set up around Mono has been possible but challenging.

F# and Mono are neat, but .NET has a long way to go before it becomes as cross-platform as Java.