Bug or feature? :) Anyway its magic :)

            using (RecordExpectations recorder = new RecordExpectations())
            {
                Class1 c1 = Class2.GetClass1();
            }

------ Test started: Assembly: ClassLibrary1.dll ------
TestCase 'ClassLibrary1.Test.Foo'
failed: TypeMock.TypeMockException:
*** Cannot return a value for Class2.GetClass1() because no value was set. use recorder.Return().
*** Note: Cannot mock types from mscorlib assembly.
at TypeMock.RecorderManager.e()
at TypeMock.RecordExpectations.Dispose()
D:Old ProjectsQQQQQQClassLibrary1Class1.cs(59,0): at ClassLibrary1.Test.Foo()
0 passed, 1 failed, 0 skipped, took 8,13 seconds.

            using (RecordExpectations recorder = new RecordExpectations())
            {
                Class1 c1 = Class2.GetClass1();
                c1.Foo2();
            }