PERL is calling a function from the MSVC DLL. Then, the DLL is calling a PERL callback

With Inline::C (or XS) you can have perl call a C sub that in turn calls a perl sub. This is documented in the perlcall documentation.
And here is an Inline::C demo from the Inline::C-Cookbook.

I think this is a simpler solution than separately building a dll that embeds the perl interpreter that has loaded the dll.
But then ... maybe this alternative approach is not applicable to the problem you need to solve.

Cheers,
Rob