further investigation will have to wait until some time tomorrow

Seems that, if you make the static int errno; declaration before the perl headers (xsub.h, extern.h, perl.h) are included, then there's no problem with it.
And looking at the generated Pg.c, it seems that at the time of that declaration, the only header that has been included is wchar.h (plus whatever other headers it pulls in).
However, I'm still a little puzzled as to why the OP's MS compiler saw fit to complain. (Maybe, with that particular compiler, the inclusion of wchar.h also pulled in errno.h.)

Cheers,
Rob