Sure, a more specific union type might be nice for a particular situation, but having a general Choice union means that your code can mesh well with other code when using general constructs such as Workflows, Functors, etc.
IIRC there's not an implementation of the Either Monad (Workflow in F# lingo) in the standard FSharp Core library, but there is one in the FSharpx library (though I couldn't find a constructor for it so I had to roll my own thanks to @MauricioScheffer for poiting me to choose
).
From my limited, mostly C# interop, F# experience, Choice and Option aren't baked into F#'s standard methods as much as Haskell's Maybe and Either algebraic data types are baked into its standard libraries, so you don't get as much of a "this is useful" sense when using them in F# as you might in Haskell, but they are quite useful.
As for an example: in an application I recently wrote I returned Choice1Of2 from methods when I had a successful result and Choice2Of2 with an error message when something went wrong -- whether an exception being caught or a precondition not being met -- and ran my code in a Workflow for flow control. This is one standard use of this union type.