The soft debugger inspects captured locals from anonymous delegates by reverse-engineering the compiler-generated constructs.
However, this has only been done for certain constructs in certain versions of mcs and csc. Other constructs and other compilers or versions of these compilers will fail. Worse, it's not documented which compiler versions we support.
We really should reverse-engineer and document all of the patterns generated by various versions of csc, mcs, vbc etc for anon delegates, iterators and async, and make sure we support them all, or at least know what we support and don't support.
This should be done in stages.
The first stage can cope with Mono's compiler output, since we have the source code and we can actually document this. The second stage can be expanded to deal with other compilers's output.
Since this will be a large project, and we are all maxed out of large projects until September, I am flagging this as an enhancement.