Yes. We do. And unions should work well in F#. It's designed to be a very easy pattern for all CLR languages and compilers to understand (including F#).
enum struct Either<T1, T2> // or enum class
{
First(T1 value),
Second(T2 value)
}
We view these features as complimentary. Indeed, if you look at the extended enum proposal, you'll see it builds on top of unions and closed types (another proposal coming in the next version of the lang).