This is an old bug in old version of DynamicProxy that has been fixed long time ago.
Unfortunately it seems Rhino Mocks still hasn't updated it's dependency on DynamicProxy to a more recent version with this issue fixed.
I think your two options are to build a custom version od Rhino (against new DynamicProxy) or to use another mocking framework that is using more recent version of DynamicProxy (like NSubstitute, FakeItEasy or Moq)