The former does not compile because the type of xs inside the anonymous function cannot be inferred because F# cannot express the type "some class with a Length member".
In contrast, OCaml can express the direct equivalent:
let lengths xss = Array.map (fun xs -> xs#length) xss
because OCaml can express that type (it is written ). Note that this requires more powerful type inference than either F# or Haskell currently have, e.g. OCaml can infer sum types.
However, this feature is known to be a usability issue. For example, if you screw up elsewhere in the code then the compiler has not yet inferred that the type of xs was supposed to be an array so any error message it can give can only provide information like "some type with a Length member" and not "an array". With only slightly more complicated code, this quickly gets out of control as you have massive types with many structurally inferred members that don't quite unify, leading to incomprehensible (C++/STL-like) error messages.