Learned monks, I found the answer to my installation problem, so please count above question as rhetorical.

Here is the story:

I wanted to upgrade my AS perl installation from 5.6.1 build 633 to the more recent 5.8.0 build 806. Since the compiled binaries are not compatible between 600's and 800's, I started by uninstalling the 633, and launched the msi installer package for 5.8.0. When it got to the stage of 'Configuring Perl ...', an error message popped up saying

There is a problem with this Windows Installer package. 
A program run as part of the setup did not finish as
expected. Contact your support personnel or package vendor."

In the Windows log there was a bit more ...

Product: ActivePerl 5.8.0 Build 806 -- Error 1722. 
There is a problem with this Windows Installer package. 
A program run as part of the setup did not finish as expected. 
Contact your support personnel or package vendor.  
Action ConfigurePerl, location: C:\Perl\bin\,
command: "C:\Perl\bin\wperl.exe" "-IC:\Perl\lib\\" 
"-IC:\Perl\site\lib\\" "C:\Perl\bin\config.pl" "C:\Perl\\" 

So this says that the newly installed perl was being run and it encountered some unspecified problem. The only choice offered by installer was to OK the rollback.

I wrote to the ActiveState support and got a prompt reply with several things to check or try - like make sure I have the administrator rights (I had), disable the antivirus software (I did), re-download the installer package, retry the install with verbose logging, e.t.c. I did all of this, with no success.

Then, I remembered that a colleague at work had a similar problem recently with installing some software product (not perl related) and he ended up monitoring the file transactions during the install, with freeware tool Filemon from sysinternals. I fired up Filemon and restarted the install. 700000 or 800000 file transactions later, the install process stopped at the exact same spot. I started looking through the Filemon log for errors from the failure point back, and soon I found what I was looking for - a file named G.pm was not to be found anywhere. Ouch, that was it.

In my previous perl installation I had the environment variable PERL5OPT=-MG set. I blasted that installation, but I did not remove this variable. So the newly installed perl was trying to load the G.pm, could not find it and failed to start. If only this much had gotten into the event log message - but it did not. Too bad.

Once the variable PERL5OPT removed, the install was a breeze (which is much appreciated in these unusually hot summer days).

Rudif