We have been using empty interfaces to simulate F# discriminated unions for the last 5+ years. It works like a charm. The problem "not all cases are handled in the switch" occurs very rarely (once per 50k lines of code) and, usually, we fix it after the first run of a smoke test. So, it's not a problem at all.
I think,.net team haven't added discriminited unions yet because it can be effectively simulated with interfaces.