OCaml can compile to native. That makes it faster than F# running in a VM. OCaml can compile to bytecode as well. Also, if you ever need interfacing with C/CPP, OCaml is better suited (faster) to the task than, say, Ruby or JVM based languages.
Apart from that, multithreading in OCaml is a bit like on its on Python, IIRC, with GIL taking the sting out of it. But I am sure the researchers in France and elsewhere would bring true multithreading / multicore support to OCaml sooner rather than later.
There is a multicore runtime in the works, with an ETA of "when it's done". That said, you have a couple of full-featured monadic concurrency libraries (Lwt and Async).
It also has functors (they let you parametrize a module over other modules), which F# doesn't, and you can do AST rewriting at compile-time via PPX (don't know if F# has anything like that). On the other hand, F# has access to the .NET ecosystem (which is admittedly larger than the OCaml one, though it suffers from enterprisitis), and has some nice goodies like type providers.
FYI, my Hopac library (https://github.com/Hopac/Hopac) is also a full-featured monadic concurrency library, inspired by Concurrent ML, for F# that is optimized for parallel programming.
