What's the reason for the lack of folder support? Has it got anything to do with the fact that the order of the files in a project is significant?

Yes, somewhat. You may want to check out these links

[link:cultivatingcode.com]

[link:www.hill30.com]

There's limited support that was half-built into the F# project system before we de-prioritized "folders" in favor of other less-problematic features. We experimented with this a little, but the UI gestures for moving files in and out of of folders, and re-ordering files within folders, as well as rendering issues (is Folder\File1.fs, File2.fs, Folder\File3.fs a legal order? do two copies of 'Folder' appear in the solution explorer?) made this hard to spec, and the test cost was becoming prohibitive, and few developers at the time were clamoring for the feature, so we walled off what we have, and punted the feature.

I would guess that it is probable that we will eventually include this feature in some future release (post-VS2010).

The links above suggest what's possible now; I would not recommend using folders much 'in anger', but if you have a large project including a swath of contiguous-files-in-compilation-order you want to leave in a folder, that should work. Also putting other file assets that don't figure into the compilation order (.txt files, .xml files, ...) in a folder is probably ok too.

Aside: Note that the physical location on disk does not matter; you can organize files on disk however you like, but use 'Add as link' to put all the files at the top level of the solution:

[link:lorgonblog.spaces.live.com]