Do I need to pin an anonymous delegate?

I am calling CopyFileEx from a C# application with an anonymous delegate being passed into the LPPROGRESS_ROUTINE parameter in order to get notifications on the file copy progress.

My question is, does the anonymous delegate need to be pinned and why (or why not).

In addition, does the answer change if:

1. CopyFileEx was not blocking.
2. If I passed in a delegate that was not anonymous.

Thanks!