Cost of self-executing C++11 lambdas

Out of a window procedure, I'm writing a switch statement using self-executing lambdas, like this:

LRESULT CALLBACK proc(HWND hWnd, UINT msg, WPARAM wp, LPARAM lp)
{
    switch (msg)
    {
        case WM_CREATE: return [&](WPARAM wp, LPARAM lp) {
            do_something(wp, lp);
            return 0;
        }(wp, lp);

        case WM_SIZE: return [&](HWND hWnd) {
            do_another_thing(hWnd);
            return 0;
        }(hWnd);
    }
    return DefWindowProc(hWnd, msg, wp, lp);
}

I believe compilers are free to optimize it pretty much the way they want, but generally speaking, would a compiler add much boilerplate code to this, comparing to not using these lambdas?

Could a compiler detect the redundant lambdas and remove them?