Yes, my point was more that they're pretty much the same thing. A delegate and an interface with a single method are essentially isomorphic in their behaviour.
The delegate obviously breaks down when you have more than one method. For that interfaces work just fine. Even in the case of using a delegate where you capture variables, the C# compiler creates a new type, instantiates it and passes the method in place of the delegate. It's hardly any different to deriving from an interface.
I just tend to use interfaces more out of habit even for single methods. Creating an object expression in F# is pretty much the same outcome as creating a closure in C#.
EDIT: I guess the other problem is that F# functions are not directly compatible with Func<_> and Action<_> types, so when calling a C# function expecting these, you need to wrap the call in an anonymous function. C# interfaces and F# classes are compatible though.