Given that you're not using the parameter at all, I'd create a new generic method:
private static void GenericSetActive<T>(T ignored)
{
SetActive(true);
}
Then create a delegate using that:
var genericMethod = typeof(Foo).GetMethod("GenericSetActive",
BindingFlags.NonPublic |
BindingFlags.Static);
var concreteMethod = genericMethod.MakeGenericMethod(type);
var actionInstance = Delegate.CreateDelegate(action, concreteMethod);
Basically, you can't use a lambda expression here because you don't have a specific delegate type to convert it to.