Yes there are places where directly using anonymous delegates and lambda expressions won't work.
If a method takes an untyped Delegate then the compiler doesn't know what to resolve the anonymous delegate/lambda expression to and you will get a compiler error.
public static void Invoke(Delegate d)
{
d.DynamicInvoke();
}
static void Main(string[] args)
{
// fails
Invoke(() => Console.WriteLine("Test"));
// works
Invoke(new Action(() => Console.WriteLine("Test")));
Console.ReadKey();
}
The failing line of code will get the compiler error "Cannot convert lambda expression to type 'System.Delegate' because it is not a delegate type".