My biggest frustration with the Ocaml is with third-party libraries documentation. The majority of the docs are just function signatures without explanation, let alone usage examples. The language however is quite nice and the stdlib is fairly complete. Edit: Another problem I see is the (over?) reliance on PPX preprocessors. It does make a lot of tasks simpler, but it is too much magic for me personally.
What’s making the PPX situation even worse is that they seem to break with every new release of the compiler.