Do not raise CA1065 when in delegate

src/NetAnalyzers/Core/Microsoft.CodeQuality.Analyzers/ApiDesignGuidelines/DoNotRaiseExceptionsInUnexpectedLocations.cs

@@ -84,7 +84,7 @@ public override void Initialize(AnalysisContext context)
 
                     // Find out if this given method is one of the interesting categories of methods.
                     // For example, certain Equals methods or certain accessors etc.
-                    MethodCategory methodCategory = methodCategories.FirstOrDefault(l => l.IsMatch(methodSymbol, compilation));
+                    MethodCategory? methodCategory = methodCategories.FirstOrDefault(l => l.IsMatch(methodSymbol, compilation));
                     if (methodCategory == null)
                     {
                         return;
@@ -94,8 +94,14 @@ public override void Initialize(AnalysisContext context)
                     // Throw statements.
                     operationBlockContext.RegisterOperationAction(operationContext =>
                     {
+                        var throwOperation = (IThrowOperation)operationContext.Operation;
+                        if (ThrowOperationOccursInDelegate(throwOperation))
+                        {
+                            return;
+                        }
+
                         // Get ThrowOperation's ExceptionType
-                        if (((IThrowOperation)operationContext.Operation).GetThrownExceptionType() is INamedTypeSymbol thrownExceptionType && thrownExceptionType.DerivesFrom(exceptionType))
+                        if (throwOperation.GetThrownExceptionType() is INamedTypeSymbol thrownExceptionType && thrownExceptionType.DerivesFrom(exceptionType))
                         {
                             // If no exceptions are allowed or if the thrown exceptions is not an allowed one..
                             if (methodCategory.AllowedExceptions.IsEmpty || !methodCategory.AllowedExceptions.Any(n => thrownExceptionType.IsAssignableTo(n, compilation)))
@@ -109,6 +115,22 @@ public override void Initialize(AnalysisContext context)
             });
         }
 
+        private static bool ThrowOperationOccursInDelegate(IThrowOperation throwOperation)
+        {
+            var throwParent = throwOperation.Parent;
+            while (throwParent is not null)
+            {
+                if (throwParent is IDelegateCreationOperation)
+                {
+                    return true;
+                }
+
+                throwParent = throwParent.Parent;
+            }
+
+            return false;
+        }
+
         /// <summary>
         /// This object describes a class of methods where exception throwing statements should be analyzed.
         /// </summary>

src/NetAnalyzers/UnitTests/Microsoft.CodeQuality.Analyzers/ApiDesignGuidelines/DoNotRaiseExceptionsInUnexpectedLocationsTests.cs

@@ -573,6 +573,45 @@ End Class
             await VerifyVB.VerifyAnalyzerAsync(code,
                         GetBasicNoExceptionsResultAt(6, 9, "Finalize", "Exception"));
         }
+
+        [Fact, WorkItem(6963, "https://github.com/dotnet/roslyn-analyzers/issues/6963")]
+        public Task Lambda_NoDiagnostic()
+        {
+            const string code = """
+                                using System;
+
+                                public class ShouldNotViolate
+                                {
+                                    static readonly Action a;
+
+                                    static ShouldNotViolate()
+                                    {
+                                        a = () => throw new DivideByZeroException();
+                                    }
+                                }
+                                """;
+
+            return VerifyCS.VerifyAnalyzerAsync(code);
+        }
+
+        [Fact, WorkItem(6963, "https://github.com/dotnet/roslyn-analyzers/issues/6963")]
+        public Task VB_Lambda_NoDiagnostic()
+        {
+            const string code = """
+                                Imports System
+
+                                Public Class ShouldNotViolate
+                                    Shared ReadOnly a As Action
+
+                                    Shared Sub New()
+                                        a = Sub () Throw New DivideByZeroException()
+                                    End Sub
+                                End Class
+                                """;
+
+            return VerifyVB.VerifyAnalyzerAsync(code);
+        }
+
         #endregion
 
         #region Operator tests