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See dask/dask#11576 for the dask sibling
Using local functions is rather expensive to serialize because the function body has to be serialized instead of merely a reference. That's exacerbated if the function is accessing non-local state since that requires the serialization of the entire context that function is referring to. It is therefore always better for performance to define these functions, regardless of how small they are, as global, top-level functions such that pickle works properly.
The same is true for lambdas which have the same problem.
I'm looking into whether we can have automated tests for this (difficult since our and likely your tests suite is using locals all over the place...)