You can program Xbox 360 games in F# (a Microsoft language that's based on ML, and is similar to ocaml) using XNA. A few very small indie games have been written that way.
People who write a game in ocaml tend not to write a second game in ocaml. They tend to go back to C/C++. To me this indicates that ocaml is not a good fit for game development.
I used it for a while a few years ago. Like O'Caml or Haskel , F# is a language that forces you think through your problem up front. For example you must get your types exactly right before the program compiles. In return, you get fewer runtime errors, e.g. fewer null pointer exceptions.
I stopped using it when I changed jobs and left the Windows platform.
I don't really miss F#. It was fun to learn and use, but wasn't helping me write better programs quicker than C# or Python.
People who write a game in ocaml tend not to write a second game in ocaml. They tend to go back to C/C++. To me this indicates that ocaml is not a good fit for game development.