I just reported this bug on Connect :
.NET 4.0 supports covariance and contravariance in delegates and interfaces. Unfortunately, C++/CLI does not support this as of VC++ 2010 RTM. Considering that the most popular use for C++/CLI today is as an interop language, the compiler not supporting a feature that’s going to be heavily used in the BCL and in new C# libraries is a very serious problem. It will impose limits on how effective C++/CLI will be as an interop-language.
If you think this is a serious enough problem, please vote the bug up so it gets more attention. Thank you.