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Lists in F# are singly-linked and immutable. This means consing onto the front is O(1) (create an element and have it point to an existing list), whereas snocing onto the back is O(N) (as the entire list must be replicated; you can't change the existing final pointer, you must create a whole new list).
If you do need to "append one element to the back", then e.g.
l @ [42]
is the way to do it, but this is a code smell.