In C++ lambdas have limited size (about 3 machine words). If it's context is larger than that, the data may be allocated on heap (if compiler can't optimize that allocation out).
If you stick to the raw lambdas, however, the compiler knows the size and doesn't need to use the heap. Only problem is that their type can't be named. In C++, you can work around this with auto.
Without getting too much into it, Rust has a similar distinction between raw lambdas and Box<Fn(...)>. This library uses the former.