I too would love to see this working in the vscode plugin
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ocaml-lsp has a merlin backend and basically forwards all requests for goto definition, type at point etc. to it.
I have switch in which I installed both merlin and ocaml-lsp-server. Based on my quick experiments, the inability to navigate effectively in dependencies is really a limitation of merlin rather than ocaml-lsp. Basically I noticed that wherever merlin said it could not navigate, ocaml-lsp would do the same.