Actually, you can add folders to F# projects but it’s not supported directly through Visual Studio (you have to edit the project file yourself): http://fsprojectextender.codeplex.com/ (edit: old link was broken, updated to F# Project Extender home page which has links to the original blog posts which were moved) (which I found in this answer).
I do this myself, but it is cumbersome and you end up avoiding it until keeping sanity really demands it. I think the feature simply slipped, or perhaps there wasn’t as much a culture for folder organization with the F# designers in the first place. You can see in the F# source code that they favor huge source files with no directories, with separate projects as an organization boundary.
I imagine the F# project template could be modified to support this, and it is certainly something I’d like to see happen. At the same time the linear compilation order F# enforces causes your code to be somewhat self-organized, and so folder grouping plays a less significant role.