The IDE situation is now excellent (thanks to merlin[1]) and OPAM, the OCaml Package Manager, is the best package manager I have ever used.
The remaining pain point, as far as tooling goes, is the debugging situation, but steady progress has been made and it should receive very large improvements in the next OCaml version or so.
Well, I'm not sure I would go as far as "excellent". There is no "OCAML IDE", there is vim/emacs + tools. You can hack an IDE-like workflow by way of inotify, but if you want the "works-out-the-box" experience, that's not going to happen. As you mention, debugging is lacking, and more generally Merlin can't do much in the way of refactoring.
If you're fine with, eg, hacking Python in VIM, you'll be pleasantly surprised by the OCAML situation. If you live in an integrated IDE, there will be some adaptation.
Kind of. It's a bit awkward to get it running on Windows, but somehow (by accident) I managed to do a fully functioning installation on Cygwin. That said, many of the packages have still not been ported to Windows, so my recommendation is to set up a headless VM of some GNU/Linux distro and SSH into it.
The remaining pain point, as far as tooling goes, is the debugging situation, but steady progress has been made and it should receive very large improvements in the next OCaml version or so.
[1]: https://github.com/the-lambda-church/merlin