How to make a UI-MarkupExtension

Poor XAML parser is just really confused about all this...:O) Help it by eliminating ambiguity : instantiate MyList explicitly in your XAML.

XAML:

<local:UserControlEx x:Class="WpfApp14.UserControl1"
             xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
             xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
             xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006" 
             xmlns:d="http://schemas.microsoft.com/expression/blend/2008" 
             xmlns:local="clr-namespace:WpfApp14"
             DataContext="{Binding RelativeSource={RelativeSource Self}}"
             mc:Ignorable="d" 
             d:DesignHeight="450" d:DesignWidth="450">

    <local:UserControlEx.MyList>
        <local:ObjectCollection>
            <local:CoolBlueRectangle/>
            <local:CoolBlueRectangle/>
            <local:CoolBlueRectangle/>
            <local:CoolBlueRectangle/>
            <local:CoolBlueRectangle/>
        </local:ObjectCollection>
    </local:UserControlEx.MyList>

    <Grid>
        <ItemsControl HorizontalAlignment="Left" 
                      ItemsSource="{Binding MyList}"/>
    </Grid>

</local:UserControlEx>

Where,

public class ObjectCollection : ObservableCollection<object>
{
}

BTW, the naming convention is that your markup class definition should use the Extension suffix.

public class CoolBlueRectangleExtension : MarkupExtension
{
    public override object ProvideValue(IServiceProvider serviceProvider)
    {
    }
}