When I have a TList (so, a list of "reference to procedure"), and I Clear it, do all the captured variables used in the anonymous methods get freed, so no leaking occurs?
Ie. is reference counting in effect upon clearing the TList?
Delegate types are reference counted like interfaces (in fact they are implemented as interfaces). That means if they run out of scope the object behind the scenes (you might have seen that ArcRec$xxxx thing mentioned somewhere - that is the class name the compiler generates) gets destroyed. Captured variables are implemented as fields inside that class so they also run out of scope and are getting freed.
However you might pay attention to some circular referencing which might cause a memory leak with captured variables because of some important fact:
If you have multiple anonymous methods inside a single routine/method they all are implemented by one single class (that ArcRec$xxxx thing). So in this case the anonymous method with the longest lifetime might keep another one alive even if that already is out of scope.