Cannot convert anonymous method to type ‘System.Delegate’ because it is not a delegate type

When I tried to build the following code, I got the error in the title.

    this.Invoke(delegate()
    {
        Application.DoEvents();
    });

I can overcome it by converting the anonymous method to a delegate:

    this.Invoke(new Action(delegate() {
        Application.DoEvents();
    }));

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