"Now if only its type system was as capable as haskell"

One of the reasons is precisely the "impurity" of the language. I am referring to the value restriction, which inserts `'_a` (which means "because of possible side effects, this value won't have a polymorphic type, sorry") sometimes when you do partial applications (even ones without any side effect). It bit me once when I tried to do FRP (Yampa-style) in Ocaml. I couldn't define some of the operators (time) in a modular way (in terms of integral) without losing polymorphism.

Another reason has to do with the fact that Ocaml is strict. I tried to define a mini "batteries" module with purely functional lazy lists instead of destructive streams (the enumeration). There is simply no way to define map or filter in terms of fold without losing laziness, or seriously polluting the type of fold, map, and filter. This can still be regarded as a type system issue : if strict and lazy types were compatible, as they are in Haskell, it wouldn't have been such a problem.

Monads handle much more than state -- they're an elegant alternative to exception handling, IO, and anything sequential. There's no performance penalty involved in using a monad, and very little penalty for using lazy evaluation. I've written Haskell code which is on even ground performance-wise with C, and no hoops were involved.

Monads are also not a feature of Haskell -- they can be used in any language which supports closures. I've used them in Python to great effect, though the lack of syntax support is annoying.