Is there any particular reason? Is it not possible at all or is it just not implemented yet? Maybe there are any third-party addins that allow lambda evaluations?
When writing a lambda, the act of capturing variables significantly alters the construction of the underlying code (moving variables into fields of compiler-generated classes, that could very easily themselves be chained closure-contexts).
Not even considering the general complexity of doing this, it would then have two choices:
Given a choice between "undesirable" and "impossible", I guess they simply chose not to implement a feature that would be inherently brittle, and very complex to write.