I am writing a C# application which uses Interop services to access functions in a native C++ DLL. I am already using about 10 different functions which are working.
<Can you try changing the Func delegate to
    public delegate void Func([In, MarshalAs(UnmanagedType.LPStr)] string arg1, [In, MarshalAs(UnmanagedType.LPStr)] string arg2);
And the SetFunc method to
[DllImport("lib", CharSet = CharSet.Ansi, CallingConvention = CallingConvention.Winapi)]
public static extern int SetFunc(Func lpfn);
This works for me:
Calc.h (Calc.dll, C++):
extern "C" __declspec(dllexport) double Calc(double x, double y, double __stdcall p(double, double));
Calc.cpp (Calc.dll, C++):
#include "calc.h"
__declspec(dllimport) double Calc(double x, double y, double __stdcall p(double, double))
{
    double s = p(x*x, y*y);
    return x * y + s;
}
Program.cs (Sample.exe, C#):
class Program
{
    delegate double MyCallback(double x, double y);
    [DllImport("Calc.dll", CallingConvention = CallingConvention.Cdecl)]
    static extern double Calc(double x, double y, [MarshalAs(UnmanagedType.FunctionPtr)]MyCallback func);
    static void Main(string[] args)
    {
        double z = Calc(1, 2, (x, y) => 45);
    }
}