> It's literally just a single exe/msi installer.

And so is .NET. Just install SDK from a single exe (or, on macOS, do 'brew install dotnet'), open VSCode, maybe get the C# extension. That's it. dotnet run, dotnet build, etc.

For scripting, there is 'dotnet fsi' for F# interactive. And you can also compile F# scripts directly into native executables with community tooling if you wish to make them full standalone programs.