The company is >20 years old.
OCaml is a general purpose language that provides an equilibrium between the avoidance of bugs introduced by state (like all functional languages), speed, and polymorphic type inference. At the time of adoption, the other choices were Haskell (too academic, not practical), Erlang (no type inference, not suited for large code bases with complex business logic), and lisp (too slow, loose/optional type system). The last time I checked, OCaml was third only to C and C++ in terms of speed. It is also important to consider how intellectually stimulating it is to write OCaml. If you can achieve the three things mentioned at the top of this paragraph while also creating a brand of gravitas and intellect that attracts top-tier talent, of course you would choose OCaml.
Would a new, uninitiated market maker write something in OCaml? Unlikely, as they would probably use C++, Rust, or Scala with a 1TB heap and GC disabled. Ignoring the learning curve and time/dollar constraints of starting a hedge fund, I would choose OCaml over the three mentioned.
 https://downloads.haskell.org/~ghc/6.6.1/docs/html/libraries... (Control.Concurrent contains forkIO - thus, green threads!)
Guessing from what information is available to me, it was a matter of personal preferences, not technical decision.
From  in some other comment, it really was a matter of personal choice.
At  it can be found that ghc had green threads at 2002.
You're right that it wasn't OCaml from the beginning, but I believe it was quite a bit earlier than that. The firm dates to 1999-2000, and OCaml came into the picture sometime around 2004.
The reason they avoided Haskell, supposedly, is the lack of predictability in its performance, largely due to its laziness. OCaml, meanwhile, has a fairly straightforward compilation that allows moderately experienced developers to have a very good idea of what the corresponding machine code will be.
Why C++ now? Still the fastest and tons of quants and highly skilled programmers know it. When you consider the correlation between C++ developers’ technical acumen and quantitative skills, coupled with the maturity and increasing convenience of the ecosystem, it makes sense.
Which is not different than being locked into e.g. JVM family, or even being locked into OCaml itself.
VCL is only available to corporate shops and those that aren't into FOSS religion.
MFC is in maintenance mode, and so far Windows developers are more keen moving into one of .NET UI stacks while keeping some C++ code as COM/DLLs or even C++/CLI, than jumping into UWP/WinUI. It remains to be seen if WinUI 3.0 will change the migration trend.
Then on mobile OSes, it isn't even an option, unless you want to write your own GUI from scracth using OpenGL/Metal/Vulkan.