Does it not run in a VM?

It can be compiled, but that’s not the use case it was originally designed around, so it’s not quite as first class an experience as with Go or Rust.

Yes you are right, it does not properly support NativeAOT yet.

But it isn't a need for most use cases, unless you want to do mobile development and meet app store policies. But even then, mature F# frameworks like Fable transpile your F# code to React & Cie.