Desktop platforms work fine.
F# doesn't have the Unity editor and project support that C# & UnityScript have. In practice this isn't much of an issue.
There are few things to be mindful of:
1. The F# target platform must be changed to Unity's .net 3.5 equivalent. Similarly, full framework support must be enabled in Unity.
2. VS debugger support requires turning off optimisations and running a post build step to convert between Microsoft's pdb format and Mono's mdb. The debugger itself is actually far more stable for F# than for C#. 3. Unity profiler support requires adding the compilation symbol 'ENABLE_PROFILER' to the F# project.