The templates should come with a custom built FSharp.Core.dll that disable features that are not available on Windows Phone. Are you sure you are compiling against this dll, and not the Windows PC one?
I had similar problems with Xbox360 and XNA. The F# team sent me a dll suitable for use for the Xbox360, along with some brief instructions on the settings used to build the dll.
Here is the propertygroup we've used to compile FSharp.Core:
<PropertyGroup Condition="'$(TargetFramework)'=='Xbox360\CompactFramework\3.7'">
<TargetFrameworkVersion>v4.0</TargetFrameworkVersion>
<TargetFrameworkProfile>Client</TargetFrameworkProfile>
<XnaFrameworkVersion>v4.0</XnaFrameworkVersion>
<XnaPlatform>Xbox 360</XnaPlatform>
<XnaProfile>HiDef</XnaProfile>
<XnaCrossPlatformGroupID>a8d70e6b-9a75-4aec-80f8-62cf373f7368</XnaCrossPlatformGroupID>
<XnaOutputType>Game</XnaOutputType>
<TargetFrameworkVersion>v4.0</TargetFrameworkVersion>
<DefineConstants>$(DefineConstants);FX_NO_ARRAY_LONG_LENGTH;FX_NO_DEBUG_PROXIES;FX_NO_EXIT;FX_FSLIB_IOBSERVABLE;FX_NO_WEB_CLIENT;FX_NO_WEB_REQUESTS;FX_NO_CHAR_PARSE;FX_NO_DEFAULT_DEPENDENCY_TYPE;FX_SIMPLE_SECURITY_PERMISSIONS;FX_NO_TRUNCATE;FX_NO_CULTURE_INFO_ARGS;FX_NO_REFLECTION_MODULE_HANDLES;FX_NO_OPERATION_CANCELLED;FX_NO_TO_LOWER_INVARIANT;FX_NO_EXIT_CONTEXT_FLAGS;FX_NO_BASED_ARRAYS;FX_NO_DOUBLE_BIT_CONVERTER;FX_NO_BINARY_SERIALIZATION;FX_NO_ASCII_ENCODING;FX_NO_DEFAULT_ENCODING;FX_NO_FILE_OPTIONS;FX_NO_NONBLOCK_IO;FX_NO_COMMAND_LINE_ARGS;FX_NO_ENVIRONMENT;FX_NO_PROCESS_START;FX_NO_APP_DOMAINS;FX_NO_PROCESS_DIAGNOSTICS;FX_FSLIB_STRUCTURAL_EQUALITY;FX_FSLIB_LAZY;FX_FSLIB_TUPLE;FX_NO_REFLECTION_EMIT</DefineConstants>
<Tailcalls>false</Tailcalls>
<!-- It would be better to use MSBuild resolution here, but the TargetFrameworkIdentifier etc. aren't set up quite correctly as yet -->
<OtherFlags>$(OtherFlags) --simpleresolution -r:"C:\Program Files\Microsoft XNA\XNA Game Studio\v4.0\References\Xbox360\mscorlib.dll"</OtherFlags>
</PropertyGroup>
and the new .targets we use:
<Import Project="$(MSBuildExtensionsPath)\Microsoft\XNA Game Studio\Microsoft.Xna.GameStudio.targets" Condition="'$(TargetFramework)'=='Xbox360\CompactFramework\3.7'"/>
The dll they sent me was working fine, and I never had to use these instructions, but they might be useful to someone who wants to build an FSharp.Core.dll for a new platform. Note in particular the DefineConstants
part.