Creating a static method that accepts a first argument supplied by the delegate.

StaticFuncWithArgExaminer.cs

namespace ILExaminer
{
    using System;

    static class Program
    {
        internal static Func<T> AsFunc<T>(this T value)
            where T : class
        {
            return new Func<T>(value.Return);
        }

        private static T Return<T>(this T value)
        {
            return value;
        }

        static void Main(string[] args)
        {
            Func<string> foo = "hi".AsFunc();
            string v = foo();
        }
    }
}

StaticFuncWithArgExaminer.il

.class private abstract auto ansi sealed beforefieldinit ILExaminer.Program
       extends [mscorlib]System.Object
{
  .custom instance void [mscorlib]System.Runtime.CompilerServices.ExtensionAttribute::.ctor() = ( 01 00 00 00 ) 
  .method assembly hidebysig static class [mscorlib]System.Func`1<!!T> 
          AsFunc<class T>(!!T 'value') cil managed
  {
    .custom instance void [mscorlib]System.Runtime.CompilerServices.ExtensionAttribute::.ctor() = ( 01 00 00 00 ) 
    // Code size       18 (0x12)
    .maxstack  8
    IL_0000:  ldarg.0
    IL_0001:  box        !!T
    IL_0006:  ldftn      !!0 ILExaminer.Program::Return<!!0>(!!0)
    IL_000c:  newobj     instance void class [mscorlib]System.Func`1<!!T>::.ctor(object,
                                                                                 native int)
    IL_0011:  ret
  } // end of method Program::AsFunc

  .method private hidebysig static !!T  Return<T>(!!T 'value') cil managed
  {
    .custom instance void [mscorlib]System.Runtime.CompilerServices.ExtensionAttribute::.ctor() = ( 01 00 00 00 ) 
    // Code size       2 (0x2)
    .maxstack  8
    IL_0000:  ldarg.0
    IL_0001:  ret
  } // end of method Program::Return

  .method private hidebysig static void  Main(string[] args) cil managed
  {
    .entrypoint
    // Code size       19 (0x13)
    .maxstack  1
    .locals init ([0] class [mscorlib]System.Func`1<string> foo)
    IL_0000:  ldstr      "hi"
    IL_0005:  call       class [mscorlib]System.Func`1<!!0> ILExaminer.Program::AsFunc<string>(!!0)
    IL_000a:  stloc.0
    IL_000b:  ldloc.0
    IL_000c:  callvirt   instance !0 class [mscorlib]System.Func`1<string>::Invoke()
    IL_0011:  pop
    IL_0012:  ret
  } // end of method Program::Main

} // end of class ILExaminer.Program

As discussed on Twitter this is will be a no-op and it's not a bug.

Relevant excerpt from CLI spec III.4.1:

If typeTok is a reference type, the box instruction does returns val unchanged as obj.

If typeTok is a generic parameter, the behavior of box instruction depends on the actual type at
runtime. If this type is a value type it is boxed as above, if it is a reference type then val is not
changed.

I suspect there's no point in special casing the class constraint in the compiler when it would merely save a no-op in IL.

OK, I figured out why this box must be emitted even if T is constrained to be a reference type. It is required to be verifiable. The key is in the next sentence in the spec that I left out of the above excerpt:

However the type tracked by verification is always “boxed” typeTok for generic
parameters, regardless of whether the actual type at runtime is a value or reference type.

If you strip out that box via ildasm/ilasm and run peverify, you get something like:

[IL]: Error: [C:\Program.exe : Program::Foo[T]]
             [offset 0x00000002]
             [found (unboxed) 'T']
             [expected ref 'System.Object']
             Unexpected type on the stack.

So from the verifier's perspective, you simply can't pass an 'unboxed' T to object. It does not take in to account the constraint and that makes sense when you factor in that requiring the box has no impact on the native code that will run.