String.Join is a .NET method. When using a .NET method, F# views it as a function that takes a tuple as an argument (when calling it you write parameters as f(a, b)). The |> operator can be used with functions that use the curried form of parameters (and can be called by writing f a b).
You can use a function String.concat from the F# library (which does the same thing) instead:
["a"; "b"] |> String.concat "+"
EDIT File.WriteAllLines is the same case. If you want to use it as part of a pipeline, you can write an F# function that wraps the call:
let writeAllLines file (lines:seq<string>) =
System.IO.File.WriteAllLines(file, lines)
In general, you can use |> with .NET methods only if you want to write all arguments on the left side of the operator. You can for example write:
("+", ["a"; "b"]) |> System.String.Join
… but that doesn’t fit with the usual use of pipeline operator. When working with .NET API, it is usually better to use a C#-like style of programming (without pipelining), because pipeline works well only with functional libraries.