Why does F# prefer lists over arrays?

I'm trying to learn F# and was watching a video when something odd (at least, to me) came up. The video in question is here and the relevant part starts at 2:30 for those interested. But basically, the guy says that F# makes it awkward to work with arrays and that the designers did so on purpose because lists are easier to "prepend and append".

The question that immediately sprang to mind: isn't easy prepending and appending something that should be frowned upon in an immutable language? Specifically, I'm thinking of C#'s Lists where you can do something like List.Add(obj); and mutate the list. With an array you'd have to create an entirely new array, but that's also what would need to happen in an immutable language.

So why do the designers of F# prefer lists? What is the fundamental difference in an immutable environment between a list and an array? What am I missing? Are lists in F# really linked lists?