F# Interactive can work with executables that rely on app.config files.
The way to do this is to have an .fs file in your project that loads your .config conditional on the COMPILED define so:
let GetMyConfig() =
  let config  = 
    #if COMPILED 
      ConfigurationManager.GetSection("MyConfig") :?> MyConfig
    #else                        
      let path = __SOURCE_DIRECTORY__ + "/app.config"
      let fileMap = ConfigurationFileMap(path) 
      let config = ConfigurationManager.OpenMappedMachineConfiguration(fileMap) 
      config.GetSection("MyConfig") :?> MyConfig
    #endif
then in your script file reference the executable and #load the .fs file so:
#I "../Build/Path
#r "ConfiguredApp.exe"
#load "MyConfig.fs"
On executing these three lines you will see a message similar to the following in the FSI window:
[Loading C:\Svn\trunk\Source\ConfiguredApp\MyConfig.fs]
Binding session to 'C:\Svn\Qar\trunk\Build\Path\ConfiguredApp.exe'...
Notice that you're actually referencing the app.config when in FSI (rather than the generated .exe.config.)
Best of luck...