Moq Return method not available after Setup

If you are familiar with the mocking framework Moq, you're used to call Setup with the overload taking a Func<T, TResult> and expect after that the Return<TResult> method to be available. And it's normally there.

However, I just ran into an interesting scenario, where calling the correct overload did not make available the Return<TResult> method.

In my case the code being mocked is a dependency that makes a request on a webservice.
A mockup of the wrapper class is created, and the Load method, which returns an XDocument, is setup.

But Return wasn't available:

Interesting that the overload resolution resolved my Func<T, TResult> to Action<T>, therefore ISetup<T> was being returned instead of ISetup<T, TResult> even though the method I setup had return type!

I inspect the method I setup to double check the return type defined:

Yes, it's missing a reference to System.Xml.Linq.
The Unit Test Project template doesn't include a reference to this assembly (and that makes sense).
Well, I added it, it works now.