Cast to Func vs new Func?

No, they both compile to exactly the same IL.

It's easier to see if you actually give the lambda body something that depends on state - otherwise the compiler caches a single delegate instance for each lambda. But for example:

using System;

class Test
{
    bool value = DateTime.Now.Hour == 10;

    void Cast()
    {
        if (((Func<bool>)(() => value))())
        {
            Console.WriteLine("Yes");
        }
    }

    void New()
    {
        if (new Func<bool>(() => value)())
        {
            Console.WriteLine("Yes");
        }
    }

    static void Main()
    {
        new Test().Cast();
        new Test().New();
    }
}

Now the IL for Cast is:

.method private hidebysig instance void  Cast() cil managed
{
  // Code size       39 (0x27)
  .maxstack  2
  .locals init (bool V_0)
  IL_0000:  nop
  IL_0001:  ldarg.0
  IL_0002:  ldftn      instance bool Test::'<Cast>b__0'()
  IL_0008:  newobj     instance void class [mscorlib]System.Func`1<bool>::.ctor(object,
                                                                                native int)
  IL_000d:  callvirt   instance !0 class [mscorlib]System.Func`1<bool>::Invoke()
  IL_0012:  ldc.i4.0
  IL_0013:  ceq
  IL_0015:  stloc.0
  IL_0016:  ldloc.0
  IL_0017:  brtrue.s   IL_0026
  IL_0019:  nop
  IL_001a:  ldstr      "Yes"
  IL_001f:  call       void [mscorlib]System.Console::WriteLine(string)
  IL_0024:  nop
  IL_0025:  nop
  IL_0026:  ret
} // end of method Test::Cast

and the IL for New is:

.method private hidebysig instance void  New() cil managed
{
  // Code size       39 (0x27)
  .maxstack  2
  .locals init (bool V_0)
  IL_0000:  nop
  IL_0001:  ldarg.0
  IL_0002:  ldftn      instance bool Test::'<New>b__1'()
  IL_0008:  newobj     instance void class [mscorlib]System.Func`1<bool>::.ctor(object,
                                                                                native int)
  IL_000d:  callvirt   instance !0 class [mscorlib]System.Func`1<bool>::Invoke()
  IL_0012:  ldc.i4.0
  IL_0013:  ceq
  IL_0015:  stloc.0
  IL_0016:  ldloc.0
  IL_0017:  brtrue.s   IL_0026
  IL_0019:  nop
  IL_001a:  ldstr      "Yes"
  IL_001f:  call       void [mscorlib]System.Console::WriteLine(string)
  IL_0024:  nop
  IL_0025:  nop
  IL_0026:  ret
} // end of method Test::New

As you can see, they're same apart from the ldftn call, which just uses the appropriate compiler-generated method.