Returning List<T> has the advantage that those methods of List<T> that are not part of IList<T> are easily used. There are a lot of things you can do with a List<T> that you cannot do with a IList<T>.
In contrast, Lookup<TKey, TElement> has only one available method that ILookup<TKey, TElement> does not have (ApplyResultSelector), and you probably would not end up using that anyway.