ML functors aren't the same thing as the functors or applicative functors I often blog about. Difference explained here: http://stackoverflow.com/questions/2030863/in-functional-pro...
ML functors are like parameterized modules. F# doesn't have parameterized modules, but has parameterized classes, which work quite similarly. Classes/objects can also be used as first-class modules.
What .NET lacks (therefore also F#) is type constructor abstraction, which means you can't generically express the concept of a (Haskell) functor, applicative functor, monad, etc.