There are occasionally Windows builds by the OCamlPro people popping up.
The fact that last time I checked, it wasn't able to consume TSD signatures from third-party libraries (or offer an equivalent system with a significant amount of libraries) is a much bigger issue IMHO.
Not terribly related but I am starting to see this as a pattern on the internet:
When I bring up the latest and greatest (eg. Flow) it doesn't actually work on Windows because Windows is as I see it an after-thought for a lot of the Open Source world.
But I've brought up this exact problem (the lag in tooling) to .Net/Windows devs before and they've told me I'm wrong and that they've got all the latest and greatest dev tooling like everyone else.
The fact that last time I checked, it wasn't able to consume TSD signatures from third-party libraries (or offer an equivalent system with a significant amount of libraries) is a much bigger issue IMHO.