I have a custom MarkupExtension that simulates binding. It works well in normal assignments but when used in Style Setters, for example:
From the documentation, it looks like the object must be freezable (so they can be shared between various interested parties)
http://msdn.microsoft.com/en-us/library/system.windows.setter.value.aspx
"Data binding and dynamic resources within the object is supported if the specified value is a Freezable object. See Binding Markup Extension and DynamicResource Markup Extension."