Yes, the MS implementation of anonymous methods effectively creates one hidden class per level of scope that it needs to capture variables from, and captures all the relevant variables from that scope. I believe this is done for the sake of simplicity, but it can indeed increase the lifetime of some objects unnecessarily.
It would be more elegant for each anonymous method to only capture the variables it was actually interested in. However, this could make life considerably more complicated… if one anonymous method captured x and y, one captured x and one captured y, you’d need three classes: one for capturing x, one for capturing y, and one for composing the two (but not just having two variables). The tricky bit is that for any single variable instantiation, that variable needs to live in exactly one place so that everything which refers to it sees the same value, whatever changes it.
This doesn’t violate the spec in any way, but it could be considered unfortunate – I don’t know whether it’s actually bitten people in real life, but it’s certainly possible.
The good news is that if the C# team decide to improve this, they should be able to do so in an entirely backwardly compatible way, unless some muppets are relying on lifetimes being extended unnecessarily.