Your CPAN repo doesn't seem up to date https://metacpan.org/dist/Mojolicious/changes#L567:

8.02  2018-10-01
...
- Added save_to method to Mojo::Message.
[download]

previously.

ok, this is weird.

C:\SCRIPTS>cpanm install install Mojo::Message::Response
--> Working on install
Fetching http://www.cpan.org/authors/id/D/DA/DAGOLDEN/install-0.01.tar
+.gz ... OK
Configuring install-0.01 ... OK
Building and testing install-0.01 ... OK
Successfully installed install-0.01
Mojo::Message::Response is up to date. (undef)
1 distribution installed

C:\SCRIPTS>cpanm install install Mojo::Message
install is up to date. (0.01)
Mojo::Message is up to date. (undef)

C:\SCRIPTS>cpanm install install Mojo::UserAgent
install is up to date. (0.01)
Mojo::UserAgent is up to date. (undef)

C:\SCRIPTS>cpanm --mirror install Mojo::Message::Response
Mojo::Message::Response is up to date. (undef)
[download]

Before doing anything else, what does cpan -D Mojolicious show?

cpanm install install Mojo::Message::Response
cpanm install install Mojo::Message
cpanm install install Mojo::UserAgent
[download]

No need for double installs (don't worry install has you covered 'install - Dummy module that prevents unexpected results from the CPAN shell'). cpanm Mojolicious should install the whole framework for you.

Even weirder..

cpan> o conf commit
commit: wrote 'C:\Strawberry\perl\lib/CPAN/Config.pm'

cpan> o conf urllist
    urllist
        0 [http://mirror.datapipe.net/CPAN/]
        1 [http://mirrors.rit.edu/CPAN/]
Type 'o conf' to view all configuration items


cpan> install Mojo::Message
Database was generated on Wed, 19 Jul 2023 12:59:13 GMT

Mojo::Message is up to date (undef).

cpan> install Mojo::UserAgent
Mojo::UserAgent is up to date (undef).

cpan> install Mojo::Message::Response
Mojo::Message::Response is up to date (undef).
still...
Can't locate object method "save_to" via package "Mojo::Message::Respo
+nse" at testdown1.pl line 27.
[download]