This looks like a nasty corner-case in the F# language, but I’m not sure if it qualifies as a by-design limitation or a bug in the compiler. If it is by design limitation, then the error message should say that (because currently, it doesn’t make much sense).
Anyway, the problem is that the F# compiler doesn’t generate code that actually contains the unit type in the IL. It replaces it with void (when used as a return type) or with empty argument list (when used as a method or function argument).
This means that in the MyClass type, the compiler decides to compile the MyFun member as a method that takes string and returns void (but you cannot use void as a generic type argument, so this just doesn’t work). In principle, the compiler could use the actual unit type in this case (because that’s the only way to get it working), but that would probably create other inconsistencies elsewhere.
Your trick with creating MyUnit is, I think, a perfectly fine way to solve the problem. Even the core F# library uses something like MyUnit in some places of the implementation (in asynchronous workflows) to deal with some limitations of unit (and the way it is compiled).