The reason is that GML and Lua each have their own respective garbage collector, which complicates the process of sharing garbage-collected values between the two. This is much easier to do when everything is in the same runtime, which is the case with MoonSharp.
I was able to implement GML➜Lua referencing in the last update since Lua has a pretty convenient (although not well documented) mechanism with “cleanup” functions in custom objects (__gc), but doing it the other way around requires using GMS2.3 weak references, which I have not deeply investigated yet, and which I’ve not seen actively used by community (meaning that it’s possible that there are bugs).
A workaround would be to make a Lua-side system that would assign indexes for functions that are to be returned to GML and store them in a table for later invocation.