I think rhe reason you are getting error there is that domains.Any() does not have any lambda in it like this: domains.Any(x => x.whatever == "whatever")
I am not sure where you were going with that Any...
You could do something like this:
RuleFor(x => x.Domains) .Cascade(CascadeMode.StopOnFirstFailure) .NotNull() .WithMessage("Domains cannot be null") .SetCollectionValidator(new DomainNameCollectionValidator());