A number of classes are unavailable as generic contraints – Enum being another.
For delegates, the closest you can get is “: class”, perhaps using reflection to check (for example, in the static constructor) that the T is a delegate:
static GenericCollection()
{
if (!typeof(T).IsSubclassOf(typeof(Delegate)))
{
throw new InvalidOperationException(typeof(T).Name + " is not a delegate type");
}
}