False positive (and puzzling message) with union types and callables

To Reproduce

This works (no complains from mypy):

from typing import TypeVar, Callable

_T = TypeVar("_T")

class Param:
    def __init__(self, initialize: Callable[[], _T]) -> None:
        ...

Param(lambda: 1)

as well as:

from typing import TypeVar, Callable

_T = TypeVar("_T")

class Param:
    def __init__(self, initialize: _T | Callable[[], _T]) -> None:
        ...

Param(1)

but for this:

from typing import TypeVar, Callable

_T = TypeVar("_T")

class Param:
    def __init__(self, initialize: _T | Callable[[], _T]) -> None:
        ...

Param(lambda: 1)

mypy issues two weird messages:

src\playground.py:9: error: Argument 1 to "Param" has incompatible type "Callable[[], int]"; expected "Callable[[], <nothing>]"
src\playground.py:9: error: Return statement in function which does not return
Found 2 errors in 1 file (checked 1 source file)

Reproduce the three examples in src/playground.py and compare the diagnostics for the union involving Callable. Start by tracing mypy's handling of callable and union type inference, then add a regression test covering the failing example; done means the valid call produces no errors and the misleading return diagnostic is gone.