Ooh. Thanks tkausl. It seems I just forgot to call lambda. Here is fixed snippet:

template<typename... Args>
std::vector<std::shared_ptr<int>> createSourceVector(Args... args)
{
    std::vector<std::shared_ptr<int>> result;
    (
        [&]() {
            result.push_back(std::make_shared<int>(args));
        }(),
        ...);
    return result;
}