Why does loading the System assembly work in the F# Repl, but not in compiled code?

let system = System.Reflection.Assembly.Load("System")
()

This works for me in the Repl, but not when compiled. Any idea why?

On compiled, I get the following exception:

Unhandled Exception: System.IO.FileNotFoundException: Could not load file or assembly 'System' or one of its dependencies. The system cannot find the file specified.