According to the specification, you should use a long form. I did not find an explanation of why this is the case, but the grammar descriptions for the exceptions look like this (and maybe also hints why the behavior is the way you described):
exception-defn: = attributes optexception data of type union-type-case
union-type-case-data: =
(case with zero union)
ident of type * ... * type (n-ary union case)
Identifier: uncurried-sig (n-ary union case)
, , , . , ...
exception MyExn of int
... , System.Exception ( ). , :
type System.Exception =
| ...
| MyExn of int