I hit the same issue recently and complained about it in some other thread, where some of the maintainers proved useful explanations in response. Among other things, if a library function that accepts formats doesn’t provide a continuation variant, wrapping it with:
Format.kdprintf (fun ppf -> do_thing @@ the_library_function "%t" ppf)
seems to be blessed way, and the soon-to-come heterogeneous list approach to format arguments will allow you to just write it in the natural way.