I have compiled this using Visual Studio 2010 compiler and it has compiler error issues on nested lambda capturing the variables captured already by the first lambda:
It's not conformant to the final draft, but it is conformant to the wording at the time at which they were implemented- i.e., it's not really a VS defect but neither is it exactly Standard. The next version, colloquially known as vNext, will have an implementation updated to use the latest wording.