... all "0" are escaped.

That's because '0' (zero) is part of the character class: the value of  $% happens to be 0 at that point | the moment of regex compilation. Please see my update to the above.

Update: E.g.:

c:\@Work\Perl\monks\marek1703>perl -wMstrict -le
"my $s = '-#-$-%-&-~-_-}-{-^-0-$%&~_}{^0';
 print qq{'$s'};
 ;;
 $s =~ s{ ([#\$%&~_{}^]) }{\\$1}xmsg;
 print qq{'$s'};
"
'-#-$-%-&-~-_-}-{-^-0-$%&~_}{^0'
'-\#-\$-\%-\&-\~-\_-\}-\{-\^-0-\$\%\&\~\_\}\{\^0'
[download]

and also (no capture):

c:\@Work\Perl\monks\marek1703>perl -wMstrict -le
"my $s = '-#-$-%-&-~-_-}-{-^-0-$%&~_}{^0';
 print qq{'$s'};
 ;;
 $s =~ s{ (?= [#\$%&~_{}^]) }{\\}xmsg;
 print qq{'$s'};
"
'-#-$-%-&-~-_-}-{-^-0-$%&~_}{^0'
'-\#-\$-\%-\&-\~-\_-\}-\{-\^-0-\$\%\&\~\_\}\{\^0'
[download]