My mistake - this isn't really fixed. I don't leak memory if I only call 'new' but the problem continues if I call any other function.
I added some 'Devel::Peek' code to my internal package and pulled it out of the Win32::Daemon in order to simplify the problem. Now Im finding that doing a 'Dump' of my 'this' pointer shows some reference counting that I don't understand but certainly looks to be leaking memory. Here is a simple case:
HTTP / SOAP wrapper:

sub http_thread
{
  my $hDaemon = HTTP::Daemon::SSL->new(LocalPort => 8001, 
            SSL_key_file => $curDir . "/certs/server-key.pem",
            SSL_cert_file => $curDir . "/certs/server-cert.pem" )
         || die "Can't start SSH Daemon. $!\n";

    my $soap = SOAP::Transport::HTTP::Server
        -> new ( )
        -> dispatch_to(qw(auth));


  while (my $hHTTP = $hDaemon->accept) 
    {
      while (my $request = $hHTTP->get_request) 
            {
                my $req =  $request->{_headers}{soapaction};


                $soap->request($request);
                $soap->handle();


                my $response = $soap->response();
                $hHTTP->send_response($response);

      }

      $hHTTP->close();
    undef( $hHTTP );
  }

}
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This gets started via:

$hThread = threads->create( {'void' => 1}, \&http_thread );
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The 'auth' class (my SOAP functions):

package auth;
use Devel::Peek;
sub new
{
    my $pkg = shift;
    my $self = {};
    bless ($self, $pkg);

    my $cur_time = time;

    $auth_sessions { $cur_time } = 0;
    $self->{ SESSIONID } = $cur_time;

        Dump $self;

    return $self;
}

sub temp
{
    my $self = shift;
    print "\n\n\ntemp\n";
    Dump ($self);

}
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I call the SOAP function as follows:

  use SOAP::Lite +autodispatch =>
        proxy => 'https://server:8001/';

my $obj = auth->new();

use Devel::Peek();
print Dump($obj);

$obj->temp();

exit;
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What I find is that in 'new' the refcnt = 1. When 'new' returns to my calling code refcnt = 4. When I call 'temp' and look at the SOAP pointer refcnt = 5.
So the big questions are:
1 - why is the reference count going so high?
2 - how do I get it back down so that it will GC properly?

EDIT:It appears to be a known problem: Link