You should also remember that the IDisposables returned by Rx and ReactiveUI are not unmanaged memory - these are just simple .NET objects still fixed by the garbage collector.
Most of the signatures created in the constructors of your ReactiveObjects will be tied to the lifetime of the host object, so when it goes beyond the scope and obeys the GC, like all subscriptions, the CLR detects a circular link and just bites everything.
As Enigmativity mentions, one tricky bit is when you use FromEventPattern to associate the lifetime of a subscription (and possibly ViewModel) with the lifetime of a WPF object. However, I would argue that you often use FromEventPattern in ReactiveUI, you definitely do Doing It Wrong ™.
RxUI is all about ViewModels, and ViewModels is all about commands and properties (and by linking properties related to each other), so you can test user experience behavior separately from your visual effects.
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