This inspection suggests that you use a C# 7.0 feature.
By default, JetBrains Rider automatically detects C# version based on the associated compiler. However, you can specify the target C# version explicitly for a project — press AltEnter on the project in the Solution Explorer and use the Language version selector on the Application page of the Project Properties dialog .
To set the C# version for all projects in your solution, specify it in a Directory.Build.props file in your solution directory as described here.
Local functions, unlike lambdas or delegates, do not cause additional overhead because they are essentially regular methods. For example, instantiating and invoking a delegate requires additional members being generated by compiler and causing some memory overhead. Another benefit of local functions is their support for all the syntax elements allowed in regular methods. If it is possible to replace a delegate with local function, JetBrains Rider suggests doing so.
Consider an example with a user-defined delegate. JetBrains Rider replaces the delegate variable mymethod with a local function Mymethod. After the replacement, it also suggests removing the unused delegate MethodDelegate.