NCrunch relies on normal NUnit logic to always call the code in SetUpFixtures, so the code will be run. However, as NCrunch doesn't have a test to actually represent the SetUpFixture itself, it won't record any code coverage for this path of execution.
So in short, this is a known issue. Most likely it will need to be resolved as part of a longer term plan - perhaps by introducing the concept of a SetUpFixture 'test' to hold the coverage.
Thanks for taking the time to report this!
Cheers,
Remco