Fortunately, F# does OO and procedural pretty well, so you shouldn't feel pressure to use a functional style if it doesn't fit.
I noticed that was something certain folks tended to do, they'd insist on creating an expression as a series of folds and maps, even if it had a very simple expression otherwise (as a list comprehension or simple for..in loop). Cast those cares aside, and write what is most useful for your use case.
Sometimes though, you do want break/goto/continue, although in most cases I think such code is better off in C or Rust.
Also, the .NET libraries we end up using were, to my knowledge, written in C#. Sometimes interacting with them feels awkward if done functionally.