Not sure which documentation you're following, doesn't seem to be correct thought. The following works:

use strict;
use warnings;
use Gtk2;
Gtk2->init;
my $window = Gtk2::Window->new ('toplevel');
my $bar1 = Gtk2::RadioButton->new (undef, 'Original Label');
$window->add ($bar1);
$bar1->set_label('Updated Label');
$window->show_all;
Gtk2->main;
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