Making your api free of side effects is one of the best things you can do. This means that you can use the API without constructing any special purpose objects (e.g., all methods are static within the API wrapper class).
I agree with Jim. Not only missing lambda is coming in VB10, most of developers that focus on their products (unless they also design API for other developers) don't care at all if the API they use has a counterpart in other languages.