This:

my $data = <<EOF;
first
second
EOF
[download]

evidently deletes the <CR> characters.

Hmm, I'm quite surprised by that, and I'm still looking for the place where that's documented. Even trying to turn off the default :crlf layer on Windows doesn't seem to restore the CRLFs in $data. In addition, even on *NIX, eval "<<BAR\r\nx\r\ny\r\nBAR" causes the returned value to have only \n's, so it appears to be something to do with how heredocs are parsed. In fact, I've reported a bug.