Use custom class for direct binding subscriptions.

src/Avalonia.Base/AvaloniaObject.cs

@@ -10,6 +10,7 @@ using System.Reactive.Linq;
 using Avalonia.Data;
 using Avalonia.Diagnostics;
 using Avalonia.Logging;
+using Avalonia.Reactive;
 using Avalonia.Threading;
 using Avalonia.Utilities;
 
@@ -38,7 +39,7 @@ namespace Avalonia
         /// Maintains a list of direct property binding subscriptions so that the binding source
         /// doesn't get collected.
         /// </summary>
-        private List<IDisposable> _directBindings;
+        private List<DirectBindingSubscription> _directBindings;
 
         /// <summary>
         /// Event handler for <see cref="INotifyPropertyChanged"/> implementation.
@@ -359,25 +360,12 @@ namespace Avalonia
                     property, 
                     description);
 
-                IDisposable subscription = null;
-
                 if (_directBindings == null)
                 {
-                    _directBindings = new List<IDisposable>();
+                    _directBindings = new List<DirectBindingSubscription>();
                 }
 
-                subscription = source
-                    .Select(x => CastOrDefault(x, property.PropertyType))
-                    .Do(_ => { }, () => _directBindings.Remove(subscription))
-                    .Subscribe(x => SetDirectValue(property, x));
-
-                _directBindings.Add(subscription);
-
-                return Disposable.Create(() =>
-                {
-                    subscription.Dispose();
-                    _directBindings.Remove(subscription);
-                });
+                return new DirectBindingSubscription(this, property, source);
             }
             else
             {
@@ -908,5 +896,38 @@ namespace Avalonia
                 value,
                 priority);
         }
+
+        private class DirectBindingSubscription : IObserver<object>, IDisposable
+        {
+            readonly AvaloniaObject _owner;
+            readonly AvaloniaProperty _property;
+            IDisposable _subscription;
+
+            public DirectBindingSubscription(
+                AvaloniaObject owner,
+                AvaloniaProperty property,
+                IObservable<object> source)
+            {
+                _owner = owner;
+                _property = property;
+                _owner._directBindings.Add(this);
+                _subscription = source.Subscribe(this);
+            }
+
+            public void Dispose()
+            {
+                _subscription.Dispose();
+                _owner._directBindings.Remove(this);
+            }
+
+            public void OnCompleted() => Dispose();
+            public void OnError(Exception error) => Dispose();
+
+            public void OnNext(object value)
+            {
+                var castValue = CastOrDefault(value, _property.PropertyType);
+                _owner.SetDirectValue(_property, castValue);
+            }
+        }
     }
 }