List, what I tried to use:

1. Reopen STDERR to variable;

2. Reopen STDERR to file;

3. Capture::Tiny and some others (sorry do not understand already);

4. Make hook on $SIG{__WARN__}

5. Use eval {}

I figured out slowest and ugly solution: write my perl code to an individual script, and system() or `backtick` it with grabbing stderr.