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?
Well, I think it's because the immediate window can only evaluate expressions, or rather it can only do invocations and assignments. To evaluate a Lambda expression a closure would have to be created for that lambda, typchecked and then executed.
I think it comes down to that the Immediate window is just an evaluator and not an interpreter.
http://msdn.microsoft.com/en-us/library/f177hahy(VS.80).aspx
"The Immediate window is used at design time to debug and evaluate expressions, execute statements, print variable values, and so forth. It allows you to enter expressions to be evaluated or executed by the development language during debugging."
So in effect, your question boils down to why you can't define functions in the immediate window (since lambdas are just annonymous functions), and the answer I think is that it simply wasn't designed for that.